IDEAS home Printed from https://ideas.repec.org/a/ris/ambsrv/0085.html
   My bibliography  Save this article

Do Oil Shocks Affect Financial Stress? Evidence from Oil-Exporting and -Importing Countries

Author

Listed:
  • Sengupta, Anirban

    (Indian Institute of Management Bodh Gaya, India)

  • Maitra, Debasish

    (Indian Institute of Management Indore (IIM Indore), India)

  • Dash, Saumya Ranjan

    (Indian Institute of Management Indore (IIM Indore), India)

  • Brooks, Robert

    (Monash University, Australia)

Abstract

In recent years, there is increasing attention to examining the relationship between oil prices, financial markets, and the economy. Relatively little is known about the dynamic relationship between structural oil shocks and financial market stress of countries, which are majorly dependent on oil price fluctuations. This paper examines the impact of structural oil shocks (oil supply shocks, global aggregate demand shocks, speculative shocks, and other oil shocks) on the financial stress of major oil-exporting and-importing economies. In this study, we construct a financial stress index and using a structural vector autoregression model, we investigate the effects of oil price shocks on the financial stress of major oil-exporting and importing economies. We find evidence that global demand shocks, followed by speculative demand shocks, have significant impacts on financial stress. Furthermore, the US subprime crisis has a significant bearing on the response of the financial stress index to structural oil shocks. The magnitude of oil price shocks on financial stress has subdued during the post-crisis period.

Suggested Citation

  • Sengupta, Anirban & Maitra, Debasish & Dash, Saumya Ranjan & Brooks, Robert, 2023. "Do Oil Shocks Affect Financial Stress? Evidence from Oil-Exporting and -Importing Countries," American Business Review, Pompea College of Business, University of New Haven, vol. 26(2), pages 399-430, November.
    • Handle: RePEc:ris:ambsrv:0085
    as

    Download full text from publisher

    File URL: https://digitalcommons.newhaven.edu/americanbusinessreview/vol26/iss2/6/
    File Function: Full text
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Structural Oil Shocks; Financial Stress Index; Financial Crisis;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q48 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Government Policy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:ambsrv:0085. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Amber Montano (email available below). General contact details of provider: https://edirc.repec.org/data/cbnhaus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.