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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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 |
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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 |
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Foreign Institution |
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Digital Repositories |
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World Bank Open Knowledge Repository |
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World Bank |
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English en_US |
topic |
oil price volatility oil prices financial markets corporate bonds stock markets Treasury bonds investment bonds exchange rate |
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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 |
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United States |
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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 |