期刊
QUARTERLY REVIEW OF ECONOMICS AND FINANCE
卷 87, 期 -, 页码 377-387出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.qref.2021.08.006
关键词
Global oil price; Stock market volatility; Economic policy uncertainty; Fluctuation
类别
This paper investigates the relationships between the global oil market, stock markets, and economic policy, focusing on China and the US. The research finds significant correlations between the volatility of the two countries' stock markets and fluctuation in the global oil price. The US stock market has a greater impact on the global oil market compared to the Chinese stock market, and an increase in economic policy uncertainty in the two countries exacerbates fluctuation in the global oil price.
This paper investigates the relationships between the global oil market, stock markets, and economic policy, focusing on China and the US. We use a time-varying parameter stochastic volatility vector autoregression model to examine the transmission mechanisms between fluctuation in the global oil price, the volatility of the Chinese and US stock markets, and economic policy uncertainty in China and the US from 2003 to 2020. We observe significant correlations between the volatility of the two countries' stock markets and fluctuation in the global oil price. Compared with the Chinese stock market, the US stock market has a greater impact on the global oil market. We also find that an increase in economic policy uncertainty in the two countries exacerbates fluctuation in the global oil price, particularly during times of crisis. In turn, greater fluctuation in the global oil price increases stock market volatility and economic policy uncertainty in both countries.(c) 2021 Published by Elsevier Inc. on behalf of Board of Trustees of the University of Illinois.
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