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Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
CESifo Working Paper No. 7925
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
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.
Schlagwörter: 
contagion
correlation
exchange rate
oil
stock market
JEL: 
C32
E37
Q43
Dokumentart: 
Working Paper
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