Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/214927
Authors: 
Mahadeo, Scott M. R.
Heinlein, Reinhold
Legrenzi, Gabriella Deborah
Year of Publication: 
2019
Series/Report no.: 
CESifo Working Paper No. 7925
Abstract: 
A new procedure to trace the sources of contagion in the oil-finance nexus is proposed. We do this by consolidating veteran rules derived from the empirical oil literature to filter oil supply, global demand, and oil demand shocks into discrete typical and extreme conditions. We show how these identified conditions can then be used to determine the stable and extreme sub-samples for comparing market relationships in the construction of contagion tests. Our original approach is useful for systemic risk assessment in countries vulnerable to oil market shocks. We illustrate the procedure using the dynamic relationships between the international crude oil market and the financial markets of a small oil-exporter.
Subjects: 
contagion
correlation
exchange rate
oil
stock market
JEL: 
C32
E37
Q43
Document Type: 
Working Paper

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