Impact of Oil Price Fluctuations on Financial Markets since 2014

Nguyen, Ha ; Nguyen, Huong ; Pham, Anh

World Bank, Washington, DC

关键词: oil price volatility;    oil prices;    financial markets;    corporate bonds;    stock markets;   

DOI  :  10.1596/1813-9450-7957
RP-ID  :  WPS7957

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

This paper investigates the causalimpact of oil price fluctuations on financial markets sinceJanuary 2014. Following a heteroscedasticity-based eventstudy approach, the paper instruments changes in oil pricesby exogenous shocks in oil supply. It finds that oil pricedeclines raise uncertainty and hurt risky assets (U.S.stocks and high-yield corporate bonds) while lifting safeassets (U.S. investment-grade bonds and long-term Treasurybonds). In addition, lower oil prices boost the U.S. dollarand reduce the prices of emerging market equities.Remarkably, the declines in oil prices hurt several sectorsthat supposedly benefit from lower oil prices, such as basicmaterials, industrials, and transportation.