Risk, uncertainty, world business cycles, and the U.S. stock-oil relationship

IF 4.5 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2025-06-10 DOI:10.1016/j.jcomm.2025.100491

André Varella Mollick

引用次数: 0

Abstract

We examine in this paper the transmission of geopolitical risks (GPR), VIX, economic policy uncertainty (EPU), and “macro uncertainty” shocks to real WTI oil and U.S. stock returns (S&P 500). Structural vector autoregressions (SVAR) are applied to monthly data from 1990:1 to 2023:6 with identification based on long-run restrictions of impulse responses from risk/uncertainty measures to world industrial production. The main results are: First, oil prices respond positively to shocks in GPR and macro uncertainty in the short-run, but not to shocks in VIX and EPU. Second, stock returns respond negatively and for longer to both GPR and VIX shocks. Third, S&P 500 moves up with positive real WTI shocks for between 5 and 8 months, supporting favorable stock market reaction to oil fundamentals. By verifying shock contributions to real asset prices, the pair (GPR, VIX) outperforms other combinations of risk/uncertainty. Two-regime Markov-Switching VARs present satisfactory regime classification measures.

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风险，不确定性，世界经济周期，以及美国股票和石油的关系

本文研究了地缘政治风险（GPR）、波动率指数（VIX）、经济政策不确定性（EPU）和“宏观不确定性”冲击对实际WTI原油和美国股票回报（标准普尔500指数）的传导。结构向量自回归（SVAR）应用于1990:1至2013:6期间的月度数据，并基于风险/不确定性措施对世界工业生产的脉冲响应的长期限制进行识别。主要结果是：首先，油价在短期内对GPR和宏观不确定性的冲击有积极的反应，但对VIX和EPU的冲击没有积极的反应。其次，股票回报对GPR和VIX冲击的反应为负，且持续时间更长。第三，标准普尔500指数在5到8个月的时间里随着西德克萨斯中质原油的积极冲击而上涨，支持股市对石油基本面的有利反应。通过验证冲击对实际资产价格的影响，该货币对（GPR， VIX）优于其他风险/不确定性组合。双状态马尔可夫开关var提供了令人满意的状态分类方法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.