1. When Do State-Dependent Local Projections Work?. (2022). Pesavento, Elena ; Kilian, Lutz ; Herrera, Ana María ; Goncalves, Silvia.
   In: Working Papers.
   RePEc:fip:feddwp:94175.

   Full description at Econpapers || Download paper

1. Alsalman, Z., Herrera, A.M., 2015. Oil price shocks and the U.S. stock market: Do sign and size matter? Energy Journal 36, 171-188. https://doi.org/10.5547/01956574.36.3.7 Barnichon, R., Matthes, C., Ziegenbein, A. 2019. Are the effects of financial market disruptions big or small? Manuscript, Federal Reserve Bank of San Francisco.

2. Bastianin, A., Manera, M., 2018. How does stock market volatility react to oil shocks? Macroeconomic Dynamics 22, 666-682. https://doi.org/10.1017/S1365100516000353 Baumeister, C., Kilian, L., 2016. Forty years of oil price fluctuations: Why the price of oil may still surprise us. Journal of Economic Perspectives 30, 139-160. https://doi.org/10.1257/jep.30.1.139 Cochrane, J., Piazzesi, M., 2002. The Fed and interest rates: A high-frequency identification.

3. Econometric Theory 13, 214-252. https://doi.org/10.1017/S0266466600005739 Mork, K. A., 1989. Oil and the macroeconomy. when prices go up and down: An extension of Hamilton’s results. Journal of Political Economy 97, 740—744. https://doi.org/10.1086/261625 Piazzesi, M., Swanson, E., 2008. Futures prices as risk adjusted forecasts of monetary policy.

4. Journal of Monetary Economics 55, 677-691. https://doi.org/10.1016/j.jmoneco.2008.04.003 Plagborg-Møller, M., Wolf, C.K., 2019. Local projections and VARs estimate the same impulse responses. Manuscript, Princeton University.
   Paper not yet in RePEc: Add citation now
   

5. Potter, S.M., 2000. Nonlinear impulse response functions. Journal of Economic Dynamics and Control 24, 1425-1446. https://doi.org/10.1016/S0165-1889(99)00013-5 Ramey, V. A., 2011. Identifying government spending shocks: It’s all in the timing. Quarterly Journal of Economics 126, 1-50. https://doi.org/10.1093/qje/qjq008 Ramey, V. A., 2016. Macroeconomic shocks and their propagation. In J. B. Taylor and H. Uhlig (eds.): Handbook of Macroeconomics, volume 2, chapter 2, Elsevier, pp. 71-162. https://doi.org/10.1016/bs.hesmac.

6. Ramey, V. A., Zubairy, S., 2018. Government spending multipliers in good times and in bad: Evidence from U.S. historical data. Journal of Political Economy 126, 850-901. https://doi.org/10.1086/696277 Romer, C.D., Romer, D.H., 2004. A new measure of monetary shocks: Derivation and implications.

1. Oil and the Stock Market Revisited: A Mixed Functional VAR Approach. (2024). Cross, Jamie ; Chang, Yoosoon ; Bjørnland, Hilde ; Bjornland, Hilde C.
   In: CAEPR Working Papers.
   RePEc:inu:caeprp:2023005.

   Full description at Econpapers || Download paper

2. Oil Price Fluctuations, US Banks, and Macroprudential Policy. (2024). Lorusso, Marco ; Gelain, Paolo.
   In: Working Papers.
   RePEc:fip:fedcwq:95098.

   Full description at Econpapers || Download paper

3. Asymmetric Impact of Oil Price Changes on Stock Prices: Evidence from Country and Sectoral Level Data. (2022). Saha, Sujata.
   In: Journal of Economics and Finance.
   RePEc:spr:jecfin:v:46:y:2022:i:2:d:10.1007_s12197-021-09559-3.

   Full description at Econpapers || Download paper

4. Non-linear cointegration between oil and stock prices: The role of interest rates. (2022). Perez-Soba, Ines ; Marquez-De, Elena ; Martinez-Caete, Ana R.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001343.

   Full description at Econpapers || Download paper

5. Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model. (2022). Yoon, Seong-Min ; Alshater, Muneer ; Tian, Maoxi.
   In: Energy Economics.
   RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322004704.

   Full description at Econpapers || Download paper

6. Economic policy uncertainty, oil and stock markets in BRIC: Evidence from quantiles analysis. (2022). Li, Sufang ; Zhang, Feipeng ; Yuan, DI.
   In: Energy Economics.
   RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001487.

   Full description at Econpapers || Download paper

7. The asymmetric effects of oil price shocks on the U.S. stock market. (2022). Rahman, Sajjadur.
   In: Energy Economics.
   RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005466.

   Full description at Econpapers || Download paper

8. Economic policy uncertainty, oil price volatility and stock market returns: Evidence from a nonlinear model. (2022). Wang, Yunyuan ; Ma, Yong ; Liu, Xiaojun ; Du, Wanying.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001176.

   Full description at Econpapers || Download paper

9. Are the responses of output and investment to oil price shocks asymmetric?: The case of an oil-importing small open economy. (2021). Kocaaslan, Ozge Kandemir.
   In: Empirical Economics.
   RePEc:spr:empeco:v:61:y:2021:i:5:d:10.1007_s00181-020-01983-4.

   Full description at Econpapers || Download paper

10. Oil price volatility and the US stock market. (2021). Rahman, Sajjadur.
    In: Empirical Economics.
    RePEc:spr:empeco:v:61:y:2021:i:3:d:10.1007_s00181-020-01906-3.

    Full description at Econpapers || Download paper

11. Counterfactual shock in energy commodities affects stock market dynamics: Evidence from the United States. (2021). Sarkodie, Samuel Asumadu ; Ahmed, Maruf Yakubu.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000982.

    Full description at Econpapers || Download paper

12. The effect of oil supply shocks on industry returns. (2021). Wu, Kai ; Li, Jay Y ; Huang, Dayong.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:24:y:2021:i:c:s2405851321000064.

    Full description at Econpapers || Download paper

13. Asymmetric responses of consumer spending to energy prices: A threshold VAR approach. (2021). Knotek, Edward ; Zaman, Saeed.
    In: Energy Economics.
    RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000323.

    Full description at Econpapers || Download paper

14. The impact of oil price volatility on stock markets: Evidences from oil-importing countries. (2021). Park, Sung Y. ; Joo, Young C.
    In: Energy Economics.
    RePEc:eee:eneeco:v:101:y:2021:i:c:s0140988321003091.

    Full description at Econpapers || Download paper

15. Impulse response analysis for structural dynamic models with nonlinear regressors. (2021). Pesavento, Elena ; Kilian, Lutz ; Herrera, Ana María ; Goncalves, Silvia ; Gonalves, Silvia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:225:y:2021:i:1:p:107-130.

    Full description at Econpapers || Download paper

16. Monetary shocks and job flows: evidence from disaggregated data. (2020). Karaki, Mohamad.
    In: Empirical Economics.
    RePEc:spr:empeco:v:58:y:2020:i:6:d:10.1007_s00181-018-1617-2.

    Full description at Econpapers || Download paper

17. Oil shocks and volatility jumps. (2020). Wohar, Mark ; GUPTA, RANGAN ; Gkillas, Konstantinos.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:54:y:2020:i:1:d:10.1007_s11156-018-00788-y.

    Full description at Econpapers || Download paper

18. Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors. (2020). Pesavento, Elena ; Kilian, Lutz ; Herrera, Ana María ; Goncalves, Silvia.
    In: Working Papers.
    RePEc:fip:feddwp:88270.

    Full description at Econpapers || Download paper

19. Asymmetric Responses of Consumer Spending to Energy Prices: A Threshold VAR Approach. (2020). Zaman, Saeed ; Knotek, Edward.
    In: Working Papers.
    RePEc:fip:fedcwq:88169.

    Full description at Econpapers || Download paper

20. Impact of US policy uncertainty on Mexico: Evidence from linear and nonlinear tests. (2020). Alam, Md Rafayet ; Istiak, Khandokar.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:77:y:2020:i:c:p:355-366.

    Full description at Econpapers || Download paper

21. Volatility spillovers for energy prices: A diagonal BEKK approach. (2020). Zolfaghari, Mehdi ; Ghoddusi, Hamed ; Faghihian, Fatemeh.
    In: Energy Economics.
    RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303054.

    Full description at Econpapers || Download paper

22. Oil price uncertainty and U.S. employment growth. (2020). MA, XIAOHAN ; Koirala, Niraj Prasad.
    In: Energy Economics.
    RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302504.

    Full description at Econpapers || Download paper

23. The economic and financial properties of crude oil: A review. (2020). Lang, Korbinian ; Auer, Benjamin R.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

    Full description at Econpapers || Download paper

24. Uncertainty and energy-sector equity returns in Iran: a Bayesian and quasi-Monte Carlo time-varying analysis. (2019). Fazelabdolabadi, Babak.
    In: Financial Innovation.
    RePEc:spr:fininn:v:5:y:2019:i:1:d:10.1186_s40854-019-0128-2.

    Full description at Econpapers || Download paper

25. Asymmetric impact of oil prices on stock returns in Shanghai stock exchange: Evidence from asymmetric ARDL model. (2019). Khan, Muhammad Kamran ; Teng, Jian-Zhou.
    In: PLOS ONE.
    RePEc:plo:pone00:0218289.

    Full description at Econpapers || Download paper

26. A sectoral analysis of asymmetric nexus between oil price and stock returns. (2019). Salisu, Afees ; Raheem, Ibrahim ; Ndako, Umar.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:61:y:2019:i:c:p:241-259.

    Full description at Econpapers || Download paper

27. Oil price shocks and U.S. economic activity. (2019). Karaki, Mohamad ; Herrera, Ana María ; Rangaraju, Sandeep Kumar.
    In: Energy Policy.
    RePEc:eee:enepol:v:129:y:2019:i:c:p:89-99.

    Full description at Econpapers || Download paper

28. Time-varying energy and stock market integration in Asia. (2019). Wagner, Niklas ; Szilagyi, Peter ; Batten, Jonathan ; Kinateder, Harald.
    In: Energy Economics.
    RePEc:eee:eneeco:v:80:y:2019:i:c:p:777-792.

    Full description at Econpapers || Download paper

29. Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis. (2019). Tiwari, Aviral ; Aloui, Mouna ; Alqahtani, Faisal ; Hamdi, Besma.
    In: Energy Economics.
    RePEc:eee:eneeco:v:80:y:2019:i:c:p:536-552.

    Full description at Econpapers || Download paper

30. Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach. (2019). Xiao, Jihong ; Ouyang, Guangda ; Wen, Fenghua ; Hu, Chunyan.
    In: Energy Economics.
    RePEc:eee:eneeco:v:80:y:2019:i:c:p:297-309.

    Full description at Econpapers || Download paper

31. Oil price and automobile stock return co-movement: A wavelet coherence analysis. (2019). Mitra, Subrata K ; Pal, Debdatta.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:76:y:2019:i:c:p:172-181.

    Full description at Econpapers || Download paper

32. Oil Shocks and Volatility Jumps. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos.
    In: Working Papers.
    RePEc:pre:wpaper:201825.

    Full description at Econpapers || Download paper

33. Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. (2018). Filis, George ; Degiannakis, Stavros ; Arora, Vipin.
    In: MPRA Paper.
    RePEc:pra:mprapa:96270.

    Full description at Econpapers || Download paper

34. Oil shocks and stock return volatility. (2018). Bachmeier, Lance ; Nadimi, Soheil R.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:68:y:2018:i:c:p:1-9.

    Full description at Econpapers || Download paper

35. The impact of oil-market shocks on stock returns in major oil-exporting countries. (2018). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:86:y:2018:i:c:p:264-280.

    Full description at Econpapers || Download paper

36. What do we know about oil prices and stock returns?. (2018). Smyth, Russell ; Narayan, Paresh Kumar.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:57:y:2018:i:c:p:148-156.

    Full description at Econpapers || Download paper

37. Time-varying rare disaster risks, oil returns and volatility. (2018). Wohar, Mark ; Suleman, Tahir ; GUPTA, RANGAN ; Demirer, Riza.
    In: Energy Economics.
    RePEc:eee:eneeco:v:75:y:2018:i:c:p:239-248.

    Full description at Econpapers || Download paper

38. Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index. (2018). Zhou, Min ; Xiao, Jihong ; Wen, Fengming.
    In: Energy Economics.
    RePEc:eee:eneeco:v:74:y:2018:i:c:p:777-786.

    Full description at Econpapers || Download paper

39. Automobile manufacturers, electric vehicles and the price of oil. (2018). Todorova, Neda ; Baur, Dirk G.
    In: Energy Economics.
    RePEc:eee:eneeco:v:74:y:2018:i:c:p:252-262.

    Full description at Econpapers || Download paper

40. The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies. (2018). Ratti, Ronald ; Ewing, Bradley ; Kang, Wensheng.
    In: Energy Economics.
    RePEc:eee:eneeco:v:72:y:2018:i:c:p:505-516.

    Full description at Econpapers || Download paper

41. Asymmetric Responses of Stock Prices to Money Supply and Oil Prices Shocks in Turkey: New Evidence from a Nonlinear ARDL Approach. (2018). Yacouba, kassouri ; Altintas, Halil.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2018-04-7.

    Full description at Econpapers || Download paper

42. Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. (2018). Filis, George ; Degiannakis, Stavros ; Arora, Vipin.
    In: The Energy Journal.
    RePEc:aen:journl:ej39-5-filis.

    Full description at Econpapers || Download paper

43. The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
    In: MPRA Paper.
    RePEc:pra:mprapa:81638.

    Full description at Econpapers || Download paper

44. The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
    In: Working Papers.
    RePEc:otg:wpaper:1710.

    Full description at Econpapers || Download paper

45. Can Investors of Chinese Energy Stocks Benefit from Diversification into Commodity Futures?. (2017). Nguyen, Duc Khuong ; Wen, Xiaoqian.
    In: Working Papers.
    RePEc:ipg:wpaper:2017-004.

    Full description at Econpapers || Download paper

46. Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations. (2017). Ratti, Ronald ; Pérez de Gracia, Fernando ; Kang, Wensheng.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:70:y:2017:i:c:p:344-359.

    Full description at Econpapers || Download paper

47. Can stock market investors hedge energy risk? Evidence from Asia. (2017). Wagner, Niklas ; Szilagyi, Peter ; Batten, Jonathan ; Kinateder, Harald.
    In: Energy Economics.
    RePEc:eee:eneeco:v:66:y:2017:i:c:p:559-570.

    Full description at Econpapers || Download paper

48. Can investors of Chinese energy stocks benefit from diversification into commodity futures?. (2017). Nguyen, Duc Khuong ; Wen, Xiaoqian.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:66:y:2017:i:c:p:184-200.

    Full description at Econpapers || Download paper

49. Modeling the Impact of Oil Price Shocks on Energy Sector Stock Returns: Evidence from Nigeria. (2017). Nduka, Eleanya ; Ebechidi, Simeon.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-17-00518.

    Full description at Econpapers || Download paper

50. Oil price uncertainty and the U.S. stock market analysis based on a GARCH-in-mean VAR model. (2016). Alsalman, Zeina.
    In: Energy Economics.
    RePEc:eee:eneeco:v:59:y:2016:i:c:p:251-260.

    Full description at Econpapers || Download paper

Report date: 2025-10-01 12:21:37 || Missing content? Let us know