Time-varying effect of oil price shocks on the stock market returns: Evidence from oil-importing and oil-exporting countries
This paper performs a two-stage methodology based on the Structural VAR and time-varying parameter regression models to examine the dynamic reaction of a set of oil-related countries’ stock markets to oil price shocks. Oil prices are studied by disentangling demand and supply shocks. Based on monthl...
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| Format: | Article |
| Language: | English |
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Elsevier
2020-11-01
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| Series: | Energy Reports |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2352484719313812 |