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:	oil price volatility oil prices financial markets corporate bonds stock markets Treasury bonds investment bonds exchange rate
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
_version_	1764460679038763008

Impact of Oil Price Fluctuations on Financial Markets since 2014

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