Do structural oil-market shocks affect stock prices?
This paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock-market returns in a sample of eight countries — Australia, Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. For each country, the analy...
| Main Authors: | , |
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| Format: | Journal Article |
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Elsevier
2009
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| Online Access: | http://hdl.handle.net/20.500.11937/2850 |
| _version_ | 1848744066792030208 |
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| author | Apergis, Nicholas Miller, S. |
| author_facet | Apergis, Nicholas Miller, S. |
| author_sort | Apergis, Nicholas |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock-market returns in a sample of eight countries — Australia, Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. For each country, the analysis proceeds in two steps. First, modifying the procedure of Kilian [Kilian, L., (forthcoming). Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. American Economic Review.], we employ a vector error– correction or vector autoregressive model to decompose oil-price changes into three components: oil-supply shocks, global aggregate-demand shocks, and global oil-demand shocks. The last component relates to specific idiosyncratic features of the oil market, such as changes in the precautionary demand concerning the uncertainty about the availability of future oil supplies. Second, recovering the oil-supply shocks, global aggregate-demand shocks, and global oil-demand shocks from the first analysis, we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock market returns in our sample of eight countries. We find that international stock market returns do not respond in a large way to oil market shocks. That is, the significant effects that exist prove small in magnitude. |
| first_indexed | 2025-11-14T05:55:34Z |
| format | Journal Article |
| id | curtin-20.500.11937-2850 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T05:55:34Z |
| publishDate | 2009 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-28502018-03-29T09:05:21Z Do structural oil-market shocks affect stock prices? Apergis, Nicholas Miller, S. Structural oil-price shocks Real stock returns Variance decomposition This paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock-market returns in a sample of eight countries — Australia, Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. For each country, the analysis proceeds in two steps. First, modifying the procedure of Kilian [Kilian, L., (forthcoming). Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. American Economic Review.], we employ a vector error– correction or vector autoregressive model to decompose oil-price changes into three components: oil-supply shocks, global aggregate-demand shocks, and global oil-demand shocks. The last component relates to specific idiosyncratic features of the oil market, such as changes in the precautionary demand concerning the uncertainty about the availability of future oil supplies. Second, recovering the oil-supply shocks, global aggregate-demand shocks, and global oil-demand shocks from the first analysis, we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock market returns in our sample of eight countries. We find that international stock market returns do not respond in a large way to oil market shocks. That is, the significant effects that exist prove small in magnitude. 2009 Journal Article http://hdl.handle.net/20.500.11937/2850 10.1016/j.eneco.2009.03.001 Elsevier restricted |
| spellingShingle | Structural oil-price shocks Real stock returns Variance decomposition Apergis, Nicholas Miller, S. Do structural oil-market shocks affect stock prices? |
| title | Do structural oil-market shocks affect stock prices? |
| title_full | Do structural oil-market shocks affect stock prices? |
| title_fullStr | Do structural oil-market shocks affect stock prices? |
| title_full_unstemmed | Do structural oil-market shocks affect stock prices? |
| title_short | Do structural oil-market shocks affect stock prices? |
| title_sort | do structural oil-market shocks affect stock prices? |
| topic | Structural oil-price shocks Real stock returns Variance decomposition |
| url | http://hdl.handle.net/20.500.11937/2850 |