期刊论文

Dai, ZF

英文

Expert Systems with Applications

0957-4174

2024

248

123408

10.1016/j.eswa.2024.123408

To study the nonlinear impact of oil price volatility on systematic risk in G7 stock markets, we decompose oil price shocks into different shocks using the SVAR model. Specifically, supply is represented by global crude oil production, and demand includes aggregate demand and oil-specific demand, which are measured by global economic activity and real oil prices. In order to measure the systematic risk caused by oil price fluctuations, this paper constructs the ΔCoVaR and MES indicators based

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In this paper, we delve into the critical role of oil shocks in influencing the systematic risk of G7 stock markets-a concern of paramount importance given the interconnectedness of global economies and the pivotal role of energy markets. We employ Delta Conditional Value at Risk (Delta CoVaR) and Marginal Expected Shortfall (MES) to measure the systematic risk of G7 stock markets due to volatility in the oil market. By decomposing oil price change into oil supply shocks, aggregate demand shocks, and oil-specific demand shocks using a structural vector autoregression model, we offer a more gra...