Work

Effects of oil shocks on markets in G7 countries

Year: 2024

Type: article

Abstract: This paper aims to assess the effects of oil price shocks on the stock markets of the G7 countries. We develop an oil sentiment indicator that measures the volatility of oil prices. We analyze oil shocks on the stock market of the G7 countries, using a structural VAR and Local Projection approach. Our results suggest that oil shocks explain 8% of the US stock market, 10% in Germany, and 7% in the UK. These results point out the possibility of using this sentiment variable for forecasting the stock market’s volatility.

Source: Brazilian Review of Finance

DOI: 10.12660/rbfin.v22n3.2024.91756

Authors: Vinícius Phillipe de Albuquerquemello, Marcelo Eduardo Alves da Silva, Rennan Kertlly Medeiros

Institutions: Universidade Federal de Pernambuco, Universidade Federal do Vale do São Francisco

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4402146649

FWCI:

Cites: 17

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Related to: 10