Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics
Research in International Business and Finance, ISSN: 0275-5319, Vol: 58, Page: 101515
2021
- 15Citations
- 14Captures
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Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
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Article Description
We 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.
Bibliographic Details
http://www.sciencedirect.com/science/article/pii/S0275531921001367; http://dx.doi.org/10.1016/j.ribaf.2021.101515; http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=85114026207&origin=inward; https://linkinghub.elsevier.com/retrieve/pii/S0275531921001367; https://dx.doi.org/10.1016/j.ribaf.2021.101515
Elsevier BV
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