Stock market returns and oil price shocks
A CoVaR analysis based on dynamic vine copula models
Bibliographic Data
| ID | 21541995 |
|---|---|
| Authors | Julia Kielmann (Technical University of Munich), Hans Manner (0000-0002-3334-4251, University of Graz, corresponding author), Aleksey Min (0000-0001-6928-4556, Technical University of Munich) |
| Year | 2022 |
| Volume | 62 |
| Issue | 4 |
| Pages | 1543-1574 |
| Publication date | 2022-04-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Empirical Economics (JOURNAL) |
| Journal identifiers | ISSN: 0377-7332 • E-ISSN: 1435-8921 |
| Publisher | Springer Science and Business Media LLC (PUBLISHER) |
| DOI | 10.1007/s00181-021-02073-9 |
| PMID | 34092906 |
| OpenAlex | W3129093860 |
| Language | EN |
| Citations received | 1 |
| References cited | 39 |
Crude oil plays a significant role in economic developments in the world. Understanding the relationship between oil price changes and stock market returns helps to improve portfolio strategies and risk positions. Kilian (Am Econ Rev 99(3): 1053–1069, 2009) proposes to decompose the oil price into three types of oil price shocks by using a structural vector autoregression model. This paper investigates the dynamic, nonlinear dependence and risk spillover effects between BRICS stock returns and the different types of oil price shocks using an appropriate multivariate and dynamic copula model. Risk is measured using the conditional value at risk, conditioning on one or more simultaneous oil and stock market shocks. For this purpose, a D-vine-based quantile regression model and the GAS copula model are combined. Our results show, inter alia, that the early stages of the Covid-19 crisis lead to increasing risk levels in the BRICS stock markets except for the Chinese one, which has recovered quickly and therefore shows no changes in the risk level
Crude oil · Downside risk · Econometrics · Economics · Financial economics · Macroeconomics · Monetary economics · Multivariate statistics · Oil price · Portfolio · Risk management · Spillover effect · Statistics · Stock market · Tail dependence · Value at risk · Vector autoregression · Vine copula · West Texas Intermediate · Energy, Environment, Economic Growth · Global Energy Security and Policy · Market Dynamics and Volatility · Mathematics · Finance
Irreversibility, Uncertainty, and Cyclical Investment
CoVaR
Modelling Asymmetric Exchange Rate Dependence
The Role of Inventories and Speculative Trading in the Global Market for Crude Oil
Not All Oil Price Shocks Are Alike
Order‐invariant tests for proper calibration of multivariate density forecasts
Oil and the Macroeconomy since World War II
A Neoclassical Model of Unemployment and the Business Cycle
Oil and the Macroeconomy Since the 1970s
| Unique citing works | 1 |
|---|---|
| Citations per year | 0,33 |
| Citation span | 2023 - 2023 (1) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 1 |