Do higher oil prices push the stock market into bear territory?

Chen, Shiu‐Sheng

doi:10.1016/j.eneco.2009.08.018

Cited by 222 publications

(108 citation statements)

References 26 publications

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“…Gregorio et al [26] in their study comprising of a sample of 34 countries reported a downfall in the intensity of relationship between oil prices and inflation in many of the countries under study. Chen [28] also suggested a similar decline in the oil passthrough effect in his study that included 19 industrialized economies.…”

Section: Literature Reviewmentioning

confidence: 73%

“…For instance, Hamilton [1], Burbridge and Harrison [19], Loungani [20], Gisser and Goodwin [21], Mork [22], Hamilton [2], Rotemberg and Woodford [23], Hamilton [3], Cunado and Garcia [24] and [25] Bachmeier, Gregorio et al [26], Zhang and Reed [27], Chen [28] etc. are some of the studies that have tried to capture the dynamic interactions between oil price shocks, inflation and economic activity in a country but with no consensus building in their approach as well as findings.…”

Section: Literature Reviewmentioning

confidence: 99%

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How Indian CPI and Industrial Production Respond to Global Oil Price Shocks? Regime-Dependent Impulse Responses

Singh¹,

Singh²

2017

TEL

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For emerging markets like India, where around 80 percent of the crude requirements are met through imports, it is an imperative task to comprehend impact of global crude oil price shocks on Indian macroeconomic variables. The present study attempts to understand these asymmetric dynamic interactions between global crude oil price shocks and Indian macroeconomic variables by employing Markov switching-Vector Autoregressive (MS-VAR) regime-dependent impulse responses in level forms. The findings hold an important place in the wake of inflation targeting regime adopted by the monetary policy authorities. The findings highlight the existence of two regimes, namely lower and higher oil price variance regimes. The response of industrial production and consumer prices is different towards oil price shocks in different regimes. In the lower oil variance regime, there is negative (positive) relationship observed between crude oil shocks and industrial production (consumer prices). On the other hand, there is a positive equilibrium shift in the industrial production in the higher oil variance regime with cost pushing inflationary pressures in the long run. The findings bear strong implication for the policy makers in their attempt to combat effects of crude oil shocks. As per the findings, the emerging market policy makers should display a cautious approach during higher oil price volatile phases in order to support industrial production and consumer demand.

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Section: Literature Reviewmentioning

confidence: 73%

Section: Literature Reviewmentioning

confidence: 99%

How Indian CPI and Industrial Production Respond to Global Oil Price Shocks? Regime-Dependent Impulse Responses

Singh¹,

Singh²

2017

TEL

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show abstract

“…Recently, using a VAR framework, Park and Ratti (2008) obtained a statistically significant impact of oil price changes on real stock returns contemporaneously or within one month for the US and 13 European countries (except for Norway). Chen (2010) found that a higher oil price does push the US stock market from a bull market into bear territory, although the probability of being trapped in a bearish regime is rather weak.…”

Section: Oil-importing Countriesmentioning

confidence: 99%

Stock Markets and Energy Prices

Abul

2014

Reference Module in Earth Systems and Environmental Sciences

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“…As a barometer of the economy, the stock market's reaction is a reasonable and useful measure to reflect the impact of oil price shocks on the economy [6]. Abundant literature has investigated the link between oil price and stock markets and concludes that oil price shocks have substantial effects on stock markets [7][8][9][10][11][12][13][14][15][16][17][18][19][20][21].…”

Section: Introductionmentioning

confidence: 99%

The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective

Zhu

Guo

et al. 2016

Sustainability

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This paper uses a quantile impulse response approach to investigate the impact of oil price shocks on Chinese stock returns. This process allows us to uncover asymmetric effects of oil price shocks on stock market returns by taking into account the different quantiles of oil price shocks. Our results show that the responses of Chinese stock market returns to oil price shocks differ greatly, depending on whether the oil and stock market is in a bust or boom state and whether the shock is driven by demand or supply. The impacts of oil price shocks on Chinese stock returns present asymmetric features. In particular during a bust phase, oil supply and demand shocks significantly depress stock market returns, while during a boom period, the aggregate demand shock enhances stock market returns. These results suggest some important implications for investors and decision makers. Keywords:Chinese stock market; oil price shock; asymmetric effects; quantile impulse response; quantile vector autoregression

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Do higher oil prices push the stock market into bear territory?

Cited by 222 publications

References 26 publications

How Indian CPI and Industrial Production Respond to Global Oil Price Shocks? Regime-Dependent Impulse Responses

How Indian CPI and Industrial Production Respond to Global Oil Price Shocks? Regime-Dependent Impulse Responses

Stock Markets and Energy Prices

The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective

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