Oil volatility risk

Gao, Lin; Hitzemann, Steffen; Shaliastovich, Ivan; Xu, Lai

doi:10.1016/j.jfineco.2021.08.016

Cited by 61 publications

(23 citation statements)

References 73 publications

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“…This subsection analyzes the transmission channel of United States macroeconomic uncertainty through which oil price shocks affect global stock markets. It is motivated by the previous papers, such as Elder and Serletis (2010), Gao, Hitzemann, Shaliastovich, and Xu (2018), and Jo (2014), showing that higher volatility in oil prices increases economic uncertainty by postponing firm‐level decisions about production and investment.…”

Section: Resultsmentioning

confidence: 99%

The impacts of oil price shocks and United States economic uncertainty on global stock markets

Kwon

2020

Int. J Fin Econ

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This article examines interdependence between oil price shocks and UnitedStates economic uncertainty and their effects on global stock markets within a structural VAR model over the last 40 years. I find that aggregate demand shocks cause a transitory rise in global real stock returns, whereas precautionary oil demand and United States economic uncertainty shocks decline the returns. Especially, oil demand shocks significantly increase United States economic uncertainty, indicating that their direct impacts on global stock markets are amplified by its endogenous response. Variance decomposition analysis shows that oil price shocks and United States economic uncertainty explain 17% and 6% of long-run variations in global real stock returns, respectively. These figures have more than tripled when the model is estimated on post 2000 data, suggesting that oil market fundamentals and United States macro uncertainty are an important determinant of global stock market movements.

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Section: Resultsmentioning

confidence: 99%

The impacts of oil price shocks and United States economic uncertainty on global stock markets

Kwon

2020

Int. J Fin Econ

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“…31 Generally speaking, oil price volatility is seen as negatively predicting economic growth and aggregate equity prices, especially for the oil sector (Gao et al, 2021).…”

Section: Tests For Changes In Bond Yield Spreads Around the Paris Agr...mentioning

confidence: 99%

Climate Regulatory Risks and Corporate Bonds

2020

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“…(2021). Interrelationships between prices and inventories have been investigated by Alquist and Kilian (2010), Killian and Lee (2014), Kilian and Murphy (2014), Jin (2019) and Gao et al . (2022).…”

Section: Related Literature On the Financialization And Its Potential...mentioning

confidence: 99%

Spillovers between non-commercial traders’ activity and spot prices? Analysis of the financialization mechanism in the crude oil market

Focacci

2023

CFRI

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PurposeThe purpose of this stud is to analyze the financialization effect on oil prices.Design/methodology/approachThis study applied the technique of multibreak point analysis with Bai and Perron test plus VAR methodology.FindingsFindings revealed that there was no effect on oil prices.Originality/valueTo the best of the author’s knowledge, this is the first paper combining the multibreakpoint analysis with VAR for the period analyzed in the present work.

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Oil volatility risk

Cited by 61 publications

References 73 publications

The impacts of oil price shocks and United States economic uncertainty on global stock markets

The impacts of oil price shocks and United States economic uncertainty on global stock markets

Climate Regulatory Risks and Corporate Bonds

Spillovers between non-commercial traders’ activity and spot prices? Analysis of the financialization mechanism in the crude oil market

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