Do structural oil-market shocks affect stock prices?

摘要: Abstract This paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock-market returns in a sample eight countries — Australia, Canada, France, Germany, Italy, Japan, United Kingdom, and States. For each country, analysis proceeds two steps. First, modifying procedure Kilian [ Kilian, L., (forthcoming) . Not All Oil Price Shocks are Alike: Disentangling Demand Supply Crude Market. American Economic Review.], we employ vector error–correction or autoregressive model to decompose oil-price into three components: oil-supply shocks, global aggregate-demand oil-demand shocks. The last component relates specific idiosyncratic features market, such as precautionary demand concerning uncertainty about availability future supplies. Second, recovering from first analysis, then determine effects these on stock market our countries. We find international do not respond large way That is, significant exist prove small magnitude.