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

Author

Listed:
  • Andrea Bastianin

    (University of Milan and Fondazione Eni Enrico Mattei)

  • Francesca Conti

    (Fondazione Eni Enrico Mattei)

  • Matteo Manera

    (University of Milan-Bicocca and Fondazione Eni Enrico Mattei)

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

  • Andrea Bastianin & Francesca Conti & Matteo Manera, 2015. "The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries," Working Papers 2015.99, Fondazione Eni Enrico Mattei.
  • Handle: RePEc:fem:femwpa:2015.99
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2017. "Oil supply shocks and economic growth in the Mediterranean," Energy Policy, Elsevier, vol. 110(C), pages 167-175.
    2. repec:prg:jnlpol:v:2018:y:2018:i:2:id:1185:p:218-239 is not listed on IDEAS
    3. Scott M. R. Mahadeo & Reinhold Heinlein & Gabriella Deborah Legrenzi, 2018. "Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy," CESifo Working Paper Series 7279, CESifo Group Munich.
    4. repec:gam:jeners:v:11:y:2018:i:10:p:2848-:d:177242 is not listed on IDEAS
    5. repec:eee:glofin:v:37:y:2018:i:c:p:199-218 is not listed on IDEAS

    More about this item

    Keywords

    Volatility; Oil Price Shocks; Oil Price; Stock Prices; Structural VAR;

    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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