Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/130272
Authors: 
Bastianin, Andrea
Conti, Francesca
Manera, Matteo
Year of Publication: 
2015
Series/Report no.: 
Nota di Lavoro, Fondazione Eni Enrico Mattei 99.2015
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.
Subjects: 
Volatility
Oil Price Shocks
Oil Price
Stock Prices
Structural VAR
JEL: 
C32
C58
E44
Q41
Q43
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.