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