En savoir plus sur le livre
We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and stock returns for a wide range of net oil-importing and oil-exporting countries. We find that precautionary demand followed by aggregate demand-side shocks, compared to supply-side ones, have higher positive and persistent effects on the conditional variances of stock returns for all countries. Moreover, we show that precautionary demand shocks, unlike the other types of shocks, mostly affect the covariances between oil price changes and stock returns; their effects being negative for all countries except China, Norway and Russia, where they are positive.
Achat du livre
Oil price shocks and stock return volatility, Sercan Eraslan
- Langue
- Année de publication
- 2018
Modes de paiement
Personne n'a encore évalué .