Una propuesta para el diseño de un test de estrés del mercado de renta variable a un escenario energétic

  1. Javier Ojea Ferreiro 1
  1. 1 Universidad Complutense de Madrid
    info

    Universidad Complutense de Madrid

    Madrid, España

    ROR 02p0gd045

Journal:
Documentos de trabajo ( CNMV )

ISSN: 2172-6337

Year of publication: 2019

Issue: 69

Pages: 1-39

Type: Working paper

More publications in: Documentos de trabajo ( CNMV )

Sustainable development goals

Abstract

This article proposes a flexible methodology that captures the asymmetry in the relationship between the stock market and the oil market jointly with potential structural changes. It deals with the challenge of modelling the sharp increase in dependence across markets in stress situations. The study analyses the response of the European stock market to an extreme energy-related scenario. This exercise is of particular significance given the growing interest in the consequences of energy prices for the real economy and the risks of a disruptive transition to a low-carbon economy