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The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries

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  • Bastianin, Andrea
  • Conti, Francesca
  • Manera, Matteo

Abstract

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply shocks. On the contrary, demand shocks impact significantly on the variability of the G7 stock markets.

Suggested Citation

  • Bastianin, Andrea & Conti, Francesca & Manera, Matteo, 2016. "The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries," Energy: Resources and Markets 230682, Fondazione Eni Enrico Mattei (FEEM).
    • Handle: RePEc:ags:feemer:230682
    DOI: 10.22004/ag.econ.230682
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    More about this item

    Keywords

    Resource /Energy Economics and Policy;

    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
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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