Gupta_et_al_2021.pdf (3.21 MB)
Download fileDisaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics
journal contribution
posted on 2023-08-30, 19:07 authored by Rangan Gupta, Xin Sheng, Christian Pierdzioch, Qiang JiWe analyse the impact of oil supply, global economic activity, oil-specific consumption demand, and oil-inventory demand shocks on equity-market tail risks of a panel of 48 developed and emerging economies over the monthly period from 1975:01 to 2017:12. We find that, oil supply, global economic activity, and oil-inventory demand shocks reduce tail risks, but oil-specific consumption demand shock increases tail risks, with these effects stronger in oil-exporting economies. Our results have important implications for investors and policymakers.
History
Refereed
- Yes
Volume
58Page range
101515Publication title
Research in International Business and FinanceISSN
0275-5319External DOI
Publisher
ElsevierFile version
- Accepted version
Language
- eng