Demirer, Riza
[Verfasser:in]
;
Ferrer Lapeña, Roman
[Sonstige Person, Familie und Körperschaft];
Hussain Shahzad, Syed Jawad
[Sonstige Person, Familie und Körperschaft]
Oil Price Shocks, Global Financial Markets and Their Connectedness
Anmerkungen:
In: Energy Economics, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 17, 2020 erstellt
Beschreibung:
This paper extends the literature on the relationship between oil price shocks and financial markets by examining the effect of oil shocks on the sovereign bond markets of a large number of advanced and emerging economies and exploring the impact of oil shocks on the degree of connectedness among international financial markets. We show that the effect of oil price shocks is not only limited to stock market returns, but also extends to bond markets, even after controlling for discount rate shocks as well as aggregate capital market effects. Unlike the case for stock markets, the effect on sovereign bonds is found to be rather heterogeneous (in terms of size and sign) and primarily driven by demand related shocks. We also show that oil price shocks serve as a driver of connectedness patterns across global financial markets, although the effect on connectedness depends on the nature of the oil market shock and the economic characteristics of the countries. Overall, the findings highlight the role of crude oil as a driver of not only of return dynamics in global stock and bond markets, but also of global financial connectedness patterns