Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics

Gupta, Rangan and Sheng, Xin and Pierdzioch, Christian and Ji, Qiang (2021) Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics. Research in International Business and Finance, 58. p. 101515. ISSN 0275-5319

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Official URL: http://dx.doi.org/10.1016/j.ribaf.2021.101515

Abstract

We analyse the impact of oil supply, global economic activity, oil-specific consumption demand, and oil-inventory demand shocks on equity-market tail risks of a panel of 48 developed and emerging economies over the monthly period from 1975:01 to 2017:12. We find that, oil supply, global economic activity, and oil-inventory demand shocks reduce tail risks, but oil-specific consumption demand shock increases tail risks, with these effects stronger in oil-exporting economies. Our results have important implications for investors and policymakers.

Item Type: Journal Article
Keywords: Oil shocks, Tail risks, International stock markets, Local projection model, Impulse response functions
Faculty: Faculty of Business & Law
SWORD Depositor: Symplectic User
Depositing User: Symplectic User
Date Deposited: 04 Oct 2021 12:43
Last Modified: 24 Jan 2022 13:53
URI: https://arro.anglia.ac.uk/id/eprint/706999

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