Graphical abstract<'/> Time-varying impacts of demand and supply oil shocks on correlations between crude oil prices and stock markets indices
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Time-varying impacts of demand and supply oil shocks on correlations between crude oil prices and stock markets indices

机译：供需冲击的时变影响对原油价格和股市指数之间的相关性

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Graphical abstractDisplay OmittedHighlights•This paper investigates the time-varying impacts of demand and supply oil shocks on correlations between oil prices and stock markets.•Demand shocks seem to have positively affected the correlations mainly from late 2007 to mid-2008, from early 2009 to mid-2013 and after 2015.•Findings also revealed that exogenous supply oil shocks had little impact on US mainly enterprises cash flows over the last 10 years.•Exceptions were the periods from 2006 to financial crisis and from 2014 until April 2016, when unpredicted changes in oil market happened.AbstractThis paper investigates the time-varying impacts of demand and supply oil shocks on correlations between changes in crude oil prices and stock markets returns. The findings, obtained by means of a DCC-GARCH from June 2006 to June 2016, indicate that demand shocks positively affected the correlations between crude oil prices and stock market returns from late 2007 to mid-2008, during the apex of the financial markets volatility; from early 2009 to mid-2013, during global economy recovery from the financial crisis; and after 2015, when uncertainties about the Chinese growth and the US economy upturning arose. The dynamic conditional correlation, obtained after the removal of demand shocks effects, presented an average value of 0.13 when all economy sectors were considered and of 0.03 when the energy sector returns were excluded from the stock index. These correlations, still positive on average, suggest that exogenous supply oil shocks had little impact on US mainly enterprises cash flows over the last 10 years. Exceptions are the periods from 2006 to financial crisis and from 2014 until April 2016, when significant and unpredicted changes in oil market happened, considerably affecting the value of the main US companies.
机译： 图形摘要 < ce：simple-para>省略显示 突出显示 • 本文调查了供求冲击对石油价格和股市之间的相关性的时变影响。 • 需求冲击似乎对这种相关性产生了积极影响，主要是从2007年末至2008年中，从2009年初至2013年中以及2015年之后。 • 调查结果还显示，外源性石油供应冲击对美国主要是企业过去的现金流量影响不大10年。 • 例外是从2006年到金融危机以及从2014年到2016年4月这段时期，当时石油市场发生了意外变化。 摘要 本文inv估计了需求和供油冲击对原油价格变化与股市收益之间的相关性的时变影响。通过DCC-GARCH于2006年6月至2016年6月获得的调查结果表明，在金融市场剧烈波动期间，需求冲击对原油价格与2007年下半年至2008年中期的股市收益之间的相关性产生了积极影响。 ;从2009年初到2013年中，在全球经济从金融危机中复苏期间；在2015年之后，中国增长和美国经济好转的不确定性出现了。在去除需求冲击效应后获得的动态条件相关性，当考虑所有经济部门时呈现的平均值为0.13，而在将能源部门的回报从股票指数中排除后的平均值为0.03。这些相关关系平均仍为正，表明在过去十年中，外源性石油供应冲击对美国主要是企业的现金流影响不大。从2006年到金融危机以及从2014年到2016年4月这段时期是例外，当时石油市场发生了重大且无法预测的变化，从而极大地影响了美国主要公司的价值。

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