Nexus between energy price shocks and the G7 financial development
In this empirical study, we aim at exploring the causality and the dependence between energy price shocks and the G7 financial development (proxied by the stock market). The causality and contagion effects are examined using the Granger causality-based vector autoregression, and the dependence struc...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Elsevier
2022-11-01
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| Series: | Energy Reports |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2352484722014998 |
| _version_ | 1797900720867901440 |
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| author | Paravee Maneejuk Woraphon Yamaka |
| author_facet | Paravee Maneejuk Woraphon Yamaka |
| author_sort | Paravee Maneejuk |
| collection | DOAJ |
| description | In this empirical study, we aim at exploring the causality and the dependence between energy price shocks and the G7 financial development (proxied by the stock market). The causality and contagion effects are examined using the Granger causality-based vector autoregression, and the dependence structures are evaluated using various Copula models. Based on the data covering 2006 to 2020, we find evidence that there is a weak causality between energy price shocks and the financial markets of the G7, except for Japan, which is given to illustrate its sensitivity to the energy prices. Additionally, the dependence structure from copula models demonstrated a positive relationship between the financial markets and energy price shocks. Finally, we find the strong tail dependence between the negative oil price shock and G7 stock markets, implying the contagion links between oil shocks and the G7 financial development. |
| first_indexed | 2024-04-10T08:49:24Z |
| format | Article |
| id | doaj.art-b8be69a225564eed8f406e27abb4a35a |
| institution | Directory Open Access Journal |
| issn | 2352-4847 |
| language | English |
| last_indexed | 2024-04-10T08:49:24Z |
| publishDate | 2022-11-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Energy Reports |
| spelling | doaj.art-b8be69a225564eed8f406e27abb4a35a2023-02-22T04:31:10ZengElsevierEnergy Reports2352-48472022-11-018296303Nexus between energy price shocks and the G7 financial developmentParavee Maneejuk0Woraphon Yamaka1Center of Excellence in Econometrics, Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, ThailandCorresponding author.; Center of Excellence in Econometrics, Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, ThailandIn this empirical study, we aim at exploring the causality and the dependence between energy price shocks and the G7 financial development (proxied by the stock market). The causality and contagion effects are examined using the Granger causality-based vector autoregression, and the dependence structures are evaluated using various Copula models. Based on the data covering 2006 to 2020, we find evidence that there is a weak causality between energy price shocks and the financial markets of the G7, except for Japan, which is given to illustrate its sensitivity to the energy prices. Additionally, the dependence structure from copula models demonstrated a positive relationship between the financial markets and energy price shocks. Finally, we find the strong tail dependence between the negative oil price shock and G7 stock markets, implying the contagion links between oil shocks and the G7 financial development.http://www.sciencedirect.com/science/article/pii/S2352484722014998Energy shocksG7 financial developmentCausalityDependence |
| spellingShingle | Paravee Maneejuk Woraphon Yamaka Nexus between energy price shocks and the G7 financial development Energy Reports Energy shocks G7 financial development Causality Dependence |
| title | Nexus between energy price shocks and the G7 financial development |
| title_full | Nexus between energy price shocks and the G7 financial development |
| title_fullStr | Nexus between energy price shocks and the G7 financial development |
| title_full_unstemmed | Nexus between energy price shocks and the G7 financial development |
| title_short | Nexus between energy price shocks and the G7 financial development |
| title_sort | nexus between energy price shocks and the g7 financial development |
| topic | Energy shocks G7 financial development Causality Dependence |
| url | http://www.sciencedirect.com/science/article/pii/S2352484722014998 |
| work_keys_str_mv | AT paraveemaneejuk nexusbetweenenergypriceshocksandtheg7financialdevelopment AT woraphonyamaka nexusbetweenenergypriceshocksandtheg7financialdevelopment |