HOW DOES STOCK MARKET VOLATILITY REACT TO OIL PRICE SHOCKS?

被引：44

作者：

Bastianin, Andrea ^{[1
,2
]}

Manera, Matteo ^{[2
,3
]}

机构：

[1] Univ Milan, Milan, Italy

[2] Fdn Eni Enrico Mattei, Milan, Italy

[3] Univ Milano Bicocca, Milan, Italy

来源：

MACROECONOMIC DYNAMICS | 2018年 / 22卷 / 03期

关键词：

Realized Volatility; Oil Price Shocks; Oil Price; Stock Prices; Structural VAR; SUPPLY SHOCKS; POLICY UNCERTAINTY; G7; COUNTRIES; US ECONOMY; ENERGY; FLUCTUATIONS; RESPOND; DEMAND; IMPACT; RETURN;

D O I：

10.1017/S1365100516000353

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study the impact of oil price shocks on the U.S. stock market volatility. We jointly analyze three different structural oil market shocks (i.e., aggregate demand, oil supply, and oil-specific demand shocks) and stock market volatility using a structural vector autoregressive model. Identification is achieved by assuming that the price of crude oil reacts to stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous, but predetermined with respect to the stock market. We show that volatility responds significantly to oil price shocks caused by unexpected changes in aggregate and oil-specific demand, whereas the impact of supply-side shocks is negligible.

引用

页码：666 / 682

页数：17

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