shock proxies on the estimated impulse responses from these SVAR models. We show via a Monte Carlo experiment that … uncertainty shock proxy as an instrument to identify the underlying shock does not suffer from this bias. Applying this proxy SVAR …

shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are …

instruments is effective in recovering the underlying shock. In contrast, identification based on recursive schemes and …

We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock … structural VAR models, one for each oil price shock. Identification is achieved by assuming that the price of crude oil reacts to … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …

following the slump points to the accommodation of the shock by the ECB, concurrent with the implementation of the Quantitative …

oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply …