BenMabrouk, Houda; HadjMohamed, Wafa - In: Cogent economics & finance 10 (2022) 1, pp. 1-17
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...