Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/182477
Authors: 
Eraslan, Sercan
Ali, Faek Menla
Year of Publication: 
2018
Series/Report no.: 
Bundesbank Discussion Paper 38/2018
Abstract: 
We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and stock returns for a wide range of net oil-importing and oil-exporting countries. We find that precautionary demand followed by aggregate demand-side shocks, compared to supply-side ones, have higher positive and persistent effects on the conditional variances of stock returns for all countries. Moreover, we show that precautionary demand shocks, unlike the other types of shocks, mostly affect the covariances between oil price changes and stock returns; their effects being negative for all countries except China, Norway and Russia, where they are positive.
Subjects: 
Oil price shocks
Stock returns
Volatility impulse response analysis
JEL: 
C32
Q43
ISBN: 
978-3-95729-505-7
Document Type: 
Working Paper
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