scholarly journals Do the stock returns of clean energy corporations respond to oil price shocks and policy uncertainty?

2020 ◽  
Vol 9 (1) ◽  
Author(s):  
Xiaohui Zhao
Keyword(s):  
Stock Returns ◽  
Clean Energy ◽  
Oil Price ◽  
Policy Uncertainty ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Demand Shocks ◽  
Supply Shocks ◽  
Energy Companies ◽  
The Impact

Abstract This paper investigates the effects of oil price shocks and policy uncertainty on the stock returns of clean energy companies. We use a structural vector autoregressive (VAR) model to separate demand and supply shocks in the global crude oil market from 2001 to 2018. We find that oil supply shocks and aggregated demand shocks have a positive effect on the returns of clean energy companies, while policy uncertainty shocks and oil-specific-demand shocks have a negative effect. The impacts of these shocks are shown to last relatively long. Moreover, the effects of oil shocks on the clean energy stock returns are amplified by adding policy uncertainty as an endogenously driven factor to the model. The impact of policy uncertainty is mainly transmitted through the uncertainty of inflation.

scholarly journals Oil Price Shocks and Energy Stock Returns of ASEAN-5 Countries: Evidence from Ready’s (2018) Decomposition Technique in a Markov Regime Switching Framework

2021 ◽  
Vol 50 (4) ◽  
pp. 1143-1156
Author(s):  
Adilah Azhari ◽  
Mukhriz Izraf Azman Aziz ◽  
Yong Kang Cheah ◽  
Hazrul Shahiri
Keyword(s):  
Stock Returns ◽  
Regime Switching ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Decomposition Technique ◽  
Price Shocks ◽  
Markov Regime Switching ◽  
Demand Shocks ◽  
Supply Shocks ◽  
High Volatility

The present study applies a new decomposition technique by Ready (2018) to estimate the impact of oil price shocks on stock return in a Markov Regime Switching framework. The approach solves certain shortcomings of the novel procedure from Kilian by incorporating daily forward-looking prices of traded financial asset. The regime switching regression provides the evidence of strong nonlinear association of stock returns to risk shocks and demand shocks despite the absence of strong regime effects. We also demonstrate that positive demand shocks increase stock returns, whereas positive risk shocks negatively impact stock returns. For supply shocks, findings show that oil supply shocks do not significantly impact stock returns for Malaysia and Singapore. For Indonesia, supply shocks have a significant positive effect only in high volatility state. In the case of Thailand and the Philippines, the effects of supply shocks are negative and significant in high volatility state; but are not significant in low volatility state. Overall, our results suggest that demand shock has a greater economic impact than supply and risk shocks as demonstrated previously by Kilian and Park and Ready.

scholarly journals HOW DO INTERNATIONAL STOCK MARKETS RESPOND TO OIL DEMAND AND SUPPLY SHOCKS?

2013 ◽  
Vol 18 (8) ◽  
pp. 1657-1682 ◽  
Author(s):  
Jochen H. F. Güntner
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Structural Var ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Demand And Supply ◽  
Supply Shocks ◽  
Oil Demand

Building on Kilian and Park's (2009) structural VAR analysis of the effects of oil demand and supply shocks on the U.S. stock market, this paper focuses on the differences and commonalities of stock price responses in oil exporting and importing economies in 1974–2011. Structural oil price shocks add to our understanding of the 2008 stock market crash. I find that unexpected reductions in world oil supply do not affect stock returns in any of six OECD countries. Although an increase in global aggregate demand consistently raises oil prices and cumulative real stock returns, the effect is more persistent for oil exporters. Other, e.g., precautionary oil demand shocks have a detrimental impact on stock markets in oil-importing countries, a statistically insignificant effect for Canada, and a significantly positive effect for Norway. Oil price shocks account for a larger share of the variation in aggregate international stock returns than in national stock returns.

The impact of extreme structural oil-price shocks on clean energy and oil stocks

Energy ◽  
2021 ◽  
Vol 225 ◽  
pp. 120209
Author(s):  
Aktham Maghyereh ◽  
Hussein Abdoh
Keyword(s):  
Clean Energy ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
The Impact

Demand, supply, monetary policy, and oil price shocks in the Russian economy (Analysis based on the BVAR model with sign restrictions)

2020 ◽  
pp. 83-104
Author(s):  
D. A. Lomonosov ◽  
A. V. Polbin ◽  
N. D. Fokin
Keyword(s):  
Monetary Policy ◽  
Positive Impact ◽  
Oil Price ◽  
Monetary Shocks ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Demand Shocks ◽  
Russian Economy ◽  
Sign Restrictions ◽  
The Impact

This paper considers a simple Bayesian vector autoregressive model for the Russian economy based on data for real GDP, GDP deflator and oil price as an exogenous variable that acts as a proxy variable for the terms of trade. Along with the impact of oil price shocks, the model estimates the impact of supply and demand shocks, the identification of which is based on the approach of sign restrictions. According to the results obtained, at the end of 2014 and in 2015, demand shocks had a positive impact on GDP growth, which can be interpreted as a positive effect of the ruble devaluation at the end of 2014. In the next years, demand shocks led mainly to a slowdown in economic growth. The paper also attempts to identify monetary policy shocks and assesses their impact on GDP, household consumption and investment. According to the results, the effect of monetary shocks in 2015—2019 on all endogenous variables was negative. However, an increase in the interest rate at the end of 2014 is identified mostly as an endogenous reaction to other shocks, and the effect of the monetary shock on GDP in 2015 is nearly zero. In 2017, monetary shocks slowed down GDP by 0.92 percentage points.

The impact of oil price shocks on Turkish sovereign yield curve

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Oğuzhan Çepni ◽  
Selçuk Gül ◽  
Muhammed Hasan Yılmaz ◽  
Brian Lucey
Keyword(s):  
Yield Curve ◽  
Structural Var ◽  
Oil Price ◽  
Inflation Expectations ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Demand Shocks ◽  
Content Type ◽  
Identification Scheme ◽  
The Impact

PurposeThis paper aims to investigate the impact of oil price shocks on the Turkish sovereign yield curve factors.Design/methodology/approachTo extract the latent factors (level, slope and curvature) of the Turkish sovereign yield curve, we estimate conventional Nelson and Siegel (1987) model with nonlinear least squares. Then, we decompose oil price shocks into supply, demand and risk shocks using structural VAR (structural VAR) models. After this separation, we apply Engle (2002) dynamic conditional correlation GARCH (DCC-GARCH (1,1)) method to investigate time-varying co-movements between yield curve factors and oil price shocks. Finally, using the LP (local projections) proposed by Jorda (2005), we estimate the impulse-response functions to examine the impact of different oil price shocks on yield curve factors.FindingsOur results demonstrate that the various oil price shocks influence the yield curve factors quite differently. A supply shock leads to a statistically significant increase in the level factor. This result shows that elevated oil prices due to supply disruptions are interpreted as a signal of a surge in inflation expectations since the cost channel prevails. Besides, unanticipated demand shocks have a positive impact on the slope factor as a result of the central bank policy response for offsetting the elevated inflation expectations. Finally, a risk shock is associated with a decrease in the curvature factor indicating that risk shocks influence the medium-term bonds due to the deflationary pressure resulting from depressed economic conditions.Practical implicationsOur results provide new insights to understand the driving forces of yield curve movements induced by various oil shocks to formulate appropriate policy responses.Originality/valueThe study contributes to the literature by two main dimensions. First, the recent oil shock identification scheme of Ready (2018) is modified using the “geopolitical oil price risk index” to capture the changes in the risk perceptions of oil markets driven by geopolitical tensions such as terrorism and conflicts and sanctions. The modified identification scheme attributes more power to demand shocks in explaining the variation of the oil price compared to that of the baseline scheme. Second, it provides recent evidence that distinguishes the impact of oil demand and supply shocks on Turkey's yield curve.

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