Цена на нефть и российский фондовый индекс: анализ причинной связи
DOI:
https://doi.org/10.22394/1993-7601-2025-77-5-24Ключевые слова:
SVAR, фондовый рынок, функции импульсных откликов, нефтяные ценыАннотация
В статье анализируется причинная связь между изменениями цен на нефть и общей динамикой рынка ценных бумаг России. Как следует из результатов анализа, устойчивое положительное влияние на фондовый рынок России оказывают шоки цен на нефть, возникшие из-за усиления экономической активности или из-за резких изменений в ожиданиях агентов относительно будущего предложения нефти, в то время как влияние шоков нефти, вызванных изменениями в предложении нефти, оказалось незначимым. Дополнительно была обнаружена значимая негативная реакция рынка на увеличение волатильности цены нефти.Организации
Проект «Исследование рынков и систем принятия решений», выполненный в рамках Программы фундаментальных исследований НИУ ВШЭСкачивания
Библиографические ссылки
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Alquist R., Kilian L. (2010). What do we learn from the price of crude oil futures? Journal of Applied Econometrics, 25 (4), 539–573. DOI: 10.1002/jae.1159.
Bastianin A., Conti F., Manera M. (2016). The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries. Energy Policy, 98, 160–169. DOI: 10.1016/j.enpol.2016.08.020.
Chen N. F., Roll R., Ross S. A. (1986). Economic forces and the stock market. Journal of Business, 59 (3), 383–403. DOI: 10.1086/296344.
Dagher L., Hasanov F. J. (2023). Oil market shocks and financial instability in Asian countries. International Review of Economics & Finance, 84, March, 182–195. DOI: 10.1016/j.iref.2022.11.008.
Jones C. M., Kaul G. (1996). Oil and the stock markets. The Journal of Finance, 51 (2), 463–491. DOI: 10.1111/j.1540-6261.1996.tb02691.x.
Hamilton J. D. (1983). Oil and the macroeconomy since World War II. Journal of Political Economy, 91 (2), 228–248. DOI: 10.1086/261140.
Hamilton J. D. (1994). Time series analysis. Vol. 2. New Jersey: Princeton.
Hamilton J. D. (1996). This is what happened to the oil price-macroeconomy relationship. Journal of Monetary Economics, 38 (2), 215–220.
Hamilton J. D. (2003). What is an oil shock? Journal of Econometrics, 113 (2), 363–398. DOI: 10.1016/S0304-4076(02)00207-5.
Huang R. D., Masulis R. W., Stoll H. R. (1996). Energy shocks and financial markets. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 16 (1), 1–27. DOI: 10.1002/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q.
Kang W., Ratti R. A., Vespignani J. L. (2016). The impact of oil price shocks on the U.S. stock market: A note on the roles of U.S. and non-U.S. oil production. Economics Letters, 145 (С), 176–181. DOI: 10.1016/j.econlet.2016.06.008.
Kilian L. (2008). Exogenous oil supply shocks: How big are they and how much do they matter for the US economy? The Review of Economics and Statistics, 90 (2), 216–240. DOI: 10.1162/rest.90.2.216.
Kilian L. (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review, 99 (3), 1053–1069. DOI: 10.1257/aer.99.3.1053.
Kilian L., Park C. (2009). The impact of oil price shocks on the US stock market. International Economic Review, 50 (4), 1267–1287. DOI: 10.1111/j.1468-2354.2009.00568.x.
Kilian L., Zhou X. (2022). Oil prices, exchange rates and interest rates. Journal of International Money and Finance, 126 (C), 102679. DOI: 10.1016/j.jimonfin.2022.102679.
Kling J. L. (1985). Oil price shocks and stock market behavior. The Journal of Portfolio Management, 12 (1), 34–39. DOI: 10.3905/jpm.1985.409034.
Park J., Ratti R. A. (2008). Oil price shocks and stock markets in the US and 13 European countries. Energy Economics, 30 (5), 2587–2608. DOI: 10.1016/j.eneco.2008.04.003.
Rehman M. U., Nautiyal N., Vo X. V., Ghardallou W., Kang S. H. (2023). Is the impact of oil shocks more pronounced during extreme market conditions? Resources Policy, 85 (A), 103899. DOI: 10.1016/j.resourpol.2023.103899.
Stopford M. (2008). Maritime economics 3e. Routledge.
Tacinur A. (2023). Causal relationship between transport inflation with oil prices and exchange rates. Journal of Economic Policy Researches, 10 (1), 245–260. DOI: 10.26650/JEPR1217835.
Umar Z., Abrar A., Hadhri S., Sokolova T. (2023). The connectedness of oil shocks, green bonds, sukuks and conventional bonds. Energy Economics, 119 (C), 106562. DOI: 10.1016/j.eneco.2023.106562.
Wang Y., Wu C., Yang L. (2013). Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries. Journal of Comparative Economics, 41 (4), 1220–1239. DOI: 10.1016/j.jce.2012.12.004.
Yang J., Rizvi S. K. A., Tan Z., Umar M., Koondhar M. A. (2021). The competing role of natural gas and oil as fossil fuel and the non-linear dynamics of resource curse in Russia. Resources Policy, 72. DOI: 10.1016/j.resourpol.2021.102100.
