Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/130272 
Year of Publication: 
2015
Series/Report no.: 
Nota di Lavoro No. 99.2015
Publisher: 
Fondazione Eni Enrico Mattei (FEEM), Milano
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

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