...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>International Review of Economics and Finance >The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach
【24h】

The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach

机译：新兴市场部门股权回报的不对称油价和政策不确定性休克暴露：量级回归方法

获取原文
获取原文并翻译 | 示例
   

获取外文期刊封面封底 >>

       
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

We examine the asymmetric impact of oil, and economic policy uncertainty shocks on the emerging markets composite sectoral equity indexes. We use the novel shock decomposition approach propounded by Ready (2018) to disentangle the oil price changes into the oil demand, supply and risk shocks. We find that the demand shocks are positively related to sectoral returns. However, the supply, risk and EPU shocks are negatively associated with sectoral returns. Additionally, the sectoral returns are mainly vulnerable to these shocks at the bearish market conditions. Further, we also investigate the asymmetric exposure of sectoral returns to these shocks, and we find that the lower demand shocks are associated with higher returns. Besides, the higher supply, risk and EPU shocks have a more intense impact on sectoral returns than otherwise. Hence, we document the evidence of the asymmetric relationship of oil and EPU shocks with sectoral returns. We believe that our results are novel and add value to the existing literature in this domain.
机译：我们研究了石油的不对称影响，以及对新兴市场复合部门股权指数的经济政策不确定性冲击。我们使用新颖的震撼分解方法通过Ready（2018）解开油价变化进入石油需求，供应和风险冲击。我们发现需求冲击与部门回报呈正相关。但是，供应，风险和EPU冲击与部门回报呈负相关。此外，部门回报主要易于在看跌市场条件下遭受这些冲击。此外，我们还研究了部门返回的不对称暴露于这些冲击，我们发现较低的需求冲击与更高的回报相关。此外，较高的供应，风险和EPU冲击对部门回报的影响比其他方式更为强烈影响。因此，我们记录了与部门回报的石油和EPU冲击不对称关系的证据。我们认为，我们的结果是本领域现有文献的新颖，并为现有文献增添价值。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号