Oil shocks and the volatility of BRICS and G7 markets: SVAR analysis
Based on the Structural Vector Auto regression (SVAR) model, we study the impact of oil shocks on the volatility of the BRICS and G7 markets. We decompose oil shocks into three types: oil supply shocks, aggregate demand shocks and oil-specific demand shocks. The results indicate that there is a sign...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2022-12-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2068241 |