Volatility transmission between oil prices and banks' stock prices as a new source of instability: Lessons from the United States experience |
| |
Affiliation: | EconomiX-CNRS, University Paris Nanterre, 200 Avenue de la République, 92001, Nanterre Cedex, France |
| |
Abstract: | This paper examines whether American banks' exposure to the oil industry could lead to instability in both oil and financial markets. To address this issue, we investigate volatility spillovers between oil prices and the stock prices of the four major American banks involved in the oil industry by employing the vector autoregressive fractionally integrated moving average framework. We use high-frequency data from January 3, 2006, to June 30, 2016. Our results support the existence of such volatility spillovers, as evidenced by the significant volatility responses of oil price (banks' stock price) to a shock in banks' stock price (oil price). These responses, more pronounced following the banks' exposure to the shale industry, mainly reflect the financial fragility of shale companies and their high indebtedness levels. Thus, this paper emphasises how the shale oil industry could trigger turmoil in both oil and financial markets. |
| |
Keywords: | Banks' stocks Oil prices Volatility spillovers F34 G21 Q43 |
本文献已被 ScienceDirect 等数据库收录! |
|