Effects of oil shocks on markets in G7 countries

Effects of oil shocks on markets in G7 countries

• Author
• Vinícius Phillipe de Albuquerquemello
• Co-authors
• Marcelo Eduardo Alves da Silva , Rennan Kertlly de Medeiros
• 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.
   

• Keywords
• Stocks volatility, Oil prices, Oil shocks, Structural VAR, Local Projection
• Modality
• Comunicação oral
• Subject Area
• Econometria Financeira (Financial Econometrics)

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