کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7351305 | 1476695 | 2017 | 56 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Oil volatility risk and stock market volatility predictability: Evidence from G7 countries
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Academic research relies extensively on stock market information to forecast oil volatility, with relatively little attention paid to the reverse evidence. Our paper fills this gap by investigating the predictive ability of oil volatility risk to forecast stock market volatility. Using oil volatility risk premium (oil VRP) as the predictor, we find that oil VRP does exhibit statistically and economically significant in-sample and out-of-sample forecasting power for G7 countries, even controlling for some popular macroeconomic variables. These findings are robust when using alternative proxies for volatilities of stock and oil. Furthermore, the strength of the predictive evidence is substantial during relatively high and low level of stock market, while is substantially higher for recessions vis-á-vis expansions. Oil VRP can also contains additional information for predicting a series of macroeconomic variables, which serves as an available explanation for its forecasting ability.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 68, October 2017, Pages 240-254
Journal: Energy Economics - Volume 68, October 2017, Pages 240-254
نویسندگان
Jiabao Feng, Yudong Wang, Libo Yin,