摘要翻译：
我们研究了石油价格冲击对美国股市波动性的影响。本文利用结构向量自回归模型对三种不同的结构性石油市场冲击（即总需求冲击、石油供给冲击和石油特定需求冲击）和股票市场波动性进行了联合分析。通过假设原油价格对股票市场波动的反应只有时滞来实现识别。这意味着原油价格的创新不是严格意义上的外生的，而是与股票市场有关的预先确定的。我们表明，波动性对总需求和石油需求的意外变化引起的油价冲击反应显著，而供应方冲击的影响可以忽略不计。
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英文标题：
《How does stock market volatility react to oil shocks?》
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作者：
Andrea Bastianin, Matteo Manera
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最新提交年份：
2018
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Economics        经济学
二级分类：General Economics        一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要：
  We study the impact of oil price shocks on the U.S. stock market volatility. We jointly analyze three different structural oil market shocks (i.e., aggregate demand, oil supply, and oil-specific demand shocks) and stock market volatility using a structural vector autoregressive model. Identification is achieved by assuming that the price of crude oil reacts to stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous, but predetermined with respect to the stock market. We show that volatility responds significantly to oil price shocks caused by unexpected changes in aggregate and oil-specific demand, whereas the impact of supply-side shocks is negligible.
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PDF链接：
https://arxiv.org/pdf/1811.03820