1980. Over the period 1955-1980 an expansionary spending or revenue shock was associated with modestly higher stock prices …. After 1980, along with a decline in the fiscal multiplier, the response of stock prices to the same shock became negative …

We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we … structural shock that we label expectational shock. This shock plays a crucial role when describing the series of events that …

structural VAR models, one for each oil price shock. Identification is achieved by assuming that the price of crude oil reacts to …We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock …

structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and …

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling …

This paper uses a panel Threshold VAR model to estimate the regime-dependent impact of oil shocks on stock prices. We … find that an adverse oil supply shock has a negative effect on stock prices when oil inflation is low. In contrast, this … rates encourage firms to get highly leveraged. A negative oil shock in this scenario leads to a substantial increase in …