A causal link analysis of oil price to the Russian stock market
DOI:
https://doi.org/10.22394/1993-7601-2025-77-5-24Keywords:
SVAR, фондовый рынок, функции импульсных откликов, нефтяные ценыAbstract
The paper analyzes a causal link between the oil price and the Russian stock market. One finding is that only price shocks related to economic activity or future oil supply expectations have persistent impacts on the stock market, while the effects of supply-related oil shocks are insignificant. In addition, jumps in oil price volatility have been found to produce significant negative market responses.Agencies
The results of the project "Efficient and fair allocation of resources", carried out within the framework of the Basic Research Program at the National Research University Higher School of Economics (HSE University), are presented in this work.Downloads
References
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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.
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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.
