Impact of Oil Price Fluctuations on Financial Markets since 2014

This paper investigates the causal impact of oil price fluctuations on financial markets since January 2014. Following a heteroscedasticity-based event study approach, the paper instruments changes in oil prices by exogenous shocks in oil supply. I...

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Main Authors: Nguyen, Ha, Nguyen, Huong, Pham, Anh
Format: Working Paper
Language:English
en_US
Published: World Bank, Washington, DC 2017
Subjects:
Online Access:http://documents.worldbank.org/curated/en/357321485790398488/Impact-of-oil-price-fluctuations-on-financial-markets-since-2014
http://hdl.handle.net/10986/25994
id okr-10986-25994
recordtype oai_dc
spelling okr-10986-259942021-06-08T14:42:47Z Impact of Oil Price Fluctuations on Financial Markets since 2014 Nguyen, Ha Nguyen, Huong Pham, Anh oil price volatility oil prices financial markets corporate bonds stock markets Treasury bonds investment bonds exchange rate This paper investigates the causal impact of oil price fluctuations on financial markets since January 2014. Following a heteroscedasticity-based event study approach, the paper instruments changes in oil prices by exogenous shocks in oil supply. It finds that oil price declines raise uncertainty and hurt risky assets (U.S. stocks and high-yield corporate bonds) while lifting safe assets (U.S. investment-grade bonds and long-term Treasury bonds). In addition, lower oil prices boost the U.S. dollar and reduce the prices of emerging market equities. Remarkably, the declines in oil prices hurt several sectors that supposedly benefit from lower oil prices, such as basic materials, industrials, and transportation. 2017-02-02T17:22:35Z 2017-02-02T17:22:35Z 2017-01 Working Paper http://documents.worldbank.org/curated/en/357321485790398488/Impact-of-oil-price-fluctuations-on-financial-markets-since-2014 http://hdl.handle.net/10986/25994 English en_US Policy Research Working Paper;No. 7957 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank World Bank, Washington, DC Publications & Research Publications & Research :: Policy Research Working Paper United States
repository_type Digital Repository
institution_category Foreign Institution
institution Digital Repositories
building World Bank Open Knowledge Repository
collection World Bank
language English
en_US
topic oil price volatility
oil prices
financial markets
corporate bonds
stock markets
Treasury bonds
investment bonds
exchange rate
spellingShingle oil price volatility
oil prices
financial markets
corporate bonds
stock markets
Treasury bonds
investment bonds
exchange rate
Nguyen, Ha
Nguyen, Huong
Pham, Anh
Impact of Oil Price Fluctuations on Financial Markets since 2014
geographic_facet United States
relation Policy Research Working Paper;No. 7957
description This paper investigates the causal impact of oil price fluctuations on financial markets since January 2014. Following a heteroscedasticity-based event study approach, the paper instruments changes in oil prices by exogenous shocks in oil supply. It finds that oil price declines raise uncertainty and hurt risky assets (U.S. stocks and high-yield corporate bonds) while lifting safe assets (U.S. investment-grade bonds and long-term Treasury bonds). In addition, lower oil prices boost the U.S. dollar and reduce the prices of emerging market equities. Remarkably, the declines in oil prices hurt several sectors that supposedly benefit from lower oil prices, such as basic materials, industrials, and transportation.
format Working Paper
author Nguyen, Ha
Nguyen, Huong
Pham, Anh
author_facet Nguyen, Ha
Nguyen, Huong
Pham, Anh
author_sort Nguyen, Ha
title Impact of Oil Price Fluctuations on Financial Markets since 2014
title_short Impact of Oil Price Fluctuations on Financial Markets since 2014
title_full Impact of Oil Price Fluctuations on Financial Markets since 2014
title_fullStr Impact of Oil Price Fluctuations on Financial Markets since 2014
title_full_unstemmed Impact of Oil Price Fluctuations on Financial Markets since 2014
title_sort impact of oil price fluctuations on financial markets since 2014
publisher World Bank, Washington, DC
publishDate 2017
url http://documents.worldbank.org/curated/en/357321485790398488/Impact-of-oil-price-fluctuations-on-financial-markets-since-2014
http://hdl.handle.net/10986/25994
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