Economies

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20 pages, 330 KiB

Open AccessArticle

The Impact of Financial Inclusion on Financial Stability: Evidence from MENA and African Countries Analyzed Using Hierarchical Multiple Regression

by Fadoua Joudar and Omar El Ghmari

Economies 2025, 13(5), 121; https://doi.org/10.3390/economies13050121 - 28 Apr 2025

Viewed by 302

Abstract

The link between financial inclusion and financial stability is a central concern in public economic policymaking, particularly in emerging countries where access to financial services remains limited. While financial inclusion is widely regarded as a key driver of economic development, its impact on [...] Read more.

The link between financial inclusion and financial stability is a central concern in public economic policymaking, particularly in emerging countries where access to financial services remains limited. While financial inclusion is widely regarded as a key driver of economic development, its impact on financial stability remains debated. Some studies highlight the stabilizing effect of financial inclusion, whereas others, like emphasize its potential risks. This study empirically investigates the relationship between financial inclusion and financial stability across the years 2011, 2014, 2017, and 2021 in 26 African and MENA countries. The hierarchical multiple regression (HMR) method is employed to assess the independent effect of financial inclusion, controlling for macroeconomic variables. The findings reveal that financial inclusion positively contributes to financial stability through channels such as digital payments and the number of bank branches. Conversely, savings, the number of ATMs, and the money supply exhibit a negative effect on financial stability. These results underscore the need for a regulatory framework that balances financial inclusion with financial stability. In particular, cybersecurity measures must be implemented to support the expansion of digital payments, and supervisory mechanisms should be reinforced to mitigate liquidity risks. Full article

(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)

32 pages, 3424 KiB

Open AccessArticle

Volatility Modeling of the Impact of Geopolitical Risk on Commodity Markets

by Letife Özdemir, Necmiye Serap Vurur, Ercan Ozen, Beata Świecka and Simon Grima

Economies 2025, 13(4), 88; https://doi.org/10.3390/economies13040088 - 26 Mar 2025

Viewed by 1369

Abstract

This study analyses the impact of the Geopolitical Risk Index (GPR) on the volatility of commodity futures returns from 4 January 2010 to 30 June 2023, using Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) models. It expands the research scope to include precious metals, [...] Read more.

This study analyses the impact of the Geopolitical Risk Index (GPR) on the volatility of commodity futures returns from 4 January 2010 to 30 June 2023, using Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) models. It expands the research scope to include precious metals, agricultural products, energy, and industrial metals. The study differentiates between the impacts of geopolitical threat events and actions using GPRACT and GPRTHREAT indicators. Findings reveal that negative geopolitical shocks increase commodity returns’ volatility more than positive shocks. Specifically, gold, silver, and natural gas are negatively affected, while wheat, corn, soybeans, cotton, zinc, nickel, lead, WTI oil, and Brent oil experience positive effects. Platinum, cocoa, coffee, and copper show no significant impact. These insights highlight the importance of geopolitical risks on commodity market volatility and returns, aiding in risk management and portfolio diversification. Policymakers, financial market stakeholders, and investors can leverage these findings to better understand the GPR’s relationship with commodity markets and develop effective strategies. Full article

(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)

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15 pages, 1105 KiB

Open AccessArticle

Monetary Policy Adjustments in Mexico During COVID-19: Fear of Floating and Macroeconomic Volatility

by Jesús Eduardo López-Mares, Juan Manuel Ocegueda-Hernández and Rogelio Varela-Llamas

Economies 2025, 13(3), 82; https://doi.org/10.3390/economies13030082 - 20 Mar 2025

Viewed by 582

Abstract

The aim of this paper is to investigate how the central bank of Mexico—a prototypical emerging market economy (EME)—adjusted its reaction coefficients according to an estimated Taylor-type rule in response to the COVID-19 pandemic and the posterior surge in inflation. To do so, [...] Read more.

The aim of this paper is to investigate how the central bank of Mexico—a prototypical emerging market economy (EME)—adjusted its reaction coefficients according to an estimated Taylor-type rule in response to the COVID-19 pandemic and the posterior surge in inflation. To do so, we estimate a small open economy model and employ Bayesian methods with a rolling window strategy. Our findings suggest that, during and after the COVID-19 crisis, the central bank slightly reduced its response to inflation and significantly decreased the reaction to the output gap. Further, the exchange rate response increased, pointing to a higher fear of floating. Additionally, a counterfactual experiment shows that these policy adjustments effectively dampened the macroeconomic volatility during the pandemic. We attribute these changes to the lower sensitivity of inflation to the output gap and the amplification of external shocks. However, we argue that these adjustments, particularly the heightened fear of floating, are temporary measures designed to anchor inflation expectations. Full article

(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)

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28 pages, 3518 KiB

Open AccessArticle

Dynamic Linkages Between Economic Policy Uncertainty and External Variables in Latin America: Wavelet Analysis

by Nini Johana Marín-Rodríguez, Juan David González-Ruiz and Sergio Botero

Economies 2025, 13(2), 22; https://doi.org/10.3390/economies13020022 - 21 Jan 2025

Viewed by 1154

Abstract

Wavelet coherence analysis (WCA) examines the dynamic interactions between economic policy uncertainty (EPU) in Brazil, Chile, Colombia, and Mexico and key external variables, using monthly data from 2010 to 2022. The findings reveal the following: (i) medium-term co-movements (4–16 months) between EPU and [...] Read more.

Wavelet coherence analysis (WCA) examines the dynamic interactions between economic policy uncertainty (EPU) in Brazil, Chile, Colombia, and Mexico and key external variables, using monthly data from 2010 to 2022. The findings reveal the following: (i) medium-term co-movements (4–16 months) between EPU and global financial indicators, including the Chicago Board Options Exchange (CBOE) Market Volatility Index (RVIX), Merrill Lynch Option Volatility Estimate Index (RMOVE), and Global EPU Index (RGEPU), emphasizing the sustained influence of financial volatility on domestic policy environments, particularly during global turbulence; (ii) significant interactions between EPU and the Climate Policy Uncertainty Index (RCPU) in resource-dependent economies like Brazil and Colombia, with pronounced effects in medium- and long-term horizons; (iii) bidirectional relationships between Brent crude oil prices (RBRENT) and EPU in Brazil, Colombia, and Mexico, where oil price fluctuations shape policy uncertainty, especially during global market disruptions; and (iv) notable co-movements between EPU and the Dow Jones Sustainability World Index (RW1SGI) in Brazil, Chile, and Mexico, highlighting sensitivity to shifts in sustainability-driven markets. These results underscore the need for economic diversification, strengthened financial safeguards, and integrated climate risk management to mitigate external shocks. By exploring the time–frequency dynamics of global uncertainties and domestic policy environments, this study provides actionable insights for fostering resilience and stability in Latin America’s interconnected economies while addressing vulnerabilities to global market volatility and sustainability transitions. Full article

(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)

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28 pages, 3250 KiB

Open AccessArticle

Dynamic Spillovers of Economic Policy Uncertainty: A TVP-VAR Analysis of Latin American and Global EPU Indices

by Nini Johana Marín-Rodríguez, Juan David González-Ruíz and Sergio Botero

Economies 2025, 13(1), 11; https://doi.org/10.3390/economies13010011 - 7 Jan 2025

Viewed by 1399

Abstract

This study examines the dynamic interconnectedness of economic policy uncertainty (EPU) among Latin American economies—Brazil, Chile, Colombia, and Mexico—and significant international regions, including the United States, Europe, and Japan, as well as a global EPU index. Using a Time-Varying Parameter Vector Autoregressive (TVP-VAR) [...] Read more.

This study examines the dynamic interconnectedness of economic policy uncertainty (EPU) among Latin American economies—Brazil, Chile, Colombia, and Mexico—and significant international regions, including the United States, Europe, and Japan, as well as a global EPU index. Using a Time-Varying Parameter Vector Autoregressive (TVP-VAR) model with monthly data, this study reveals the evolving spillover effects and dependencies capturing how uncertainty in one market can transmit across others on both regional and global scales. The findings highlight the significant impact of external EPU, particularly from the U.S. and global EPU sources on Latin America, positioning it as a primary recipient of international uncertainty. These results underscore the need for Latin American economies to adopt resilience strategies—such as trade diversification and regional cooperation—to mitigate vulnerabilities to global shocks. This study offers valuable insights into the mechanisms of economic uncertainty transmission, guiding policymakers in developing coordinated responses to reduce the effects of external volatility and foster regional economic stability. Full article

(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)

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28 pages, 1540 KiB

Open AccessArticle

Integrating Macroeconomic and Technical Indicators into Forecasting the Stock Market: A Data-Driven Approach

by Saima Latif, Faheem Aslam, Paulo Ferreira and Sohail Iqbal

Economies 2025, 13(1), 6; https://doi.org/10.3390/economies13010006 - 31 Dec 2024

Viewed by 3317

Abstract

Forecasting stock markets is challenging due to the influence of various internal and external factors compounded by the effects of globalization. This study introduces a data-driven approach to forecast S&P 500 returns by incorporating macroeconomic indicators including gold and oil prices, the volatility [...] Read more.

Forecasting stock markets is challenging due to the influence of various internal and external factors compounded by the effects of globalization. This study introduces a data-driven approach to forecast S&P 500 returns by incorporating macroeconomic indicators including gold and oil prices, the volatility index, economic policy uncertainty, the financial stress index, geopolitical risk, and shadow short rate, with ten technical indicators. We propose three hybrid deep learning models that sequentially combine convolutional and recurrent neural networks for improved feature extraction and predictive accuracy. These models include the deep belief network with gated recurrent units, the LeNet architecture with gated recurrent units, and the LeNet architecture combined with highway networks. The results demonstrate that the proposed hybrid models achieve higher forecasting accuracy than the single deep learning models. This outcome is attributed to the complementary strengths of convolutional networks in feature extraction and recurrent networks in pattern recognition. Additionally, an analysis using the Shapley method identifies the volatility index, financial stress index, and economic policy uncertainty as the most significant predictors, underscoring the effectiveness of our data-driven approach. These findings highlight the substantial impact of contemporary uncertainty factors on stock markets, emphasizing their importance in studies analyzing market behaviour. Full article

(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)

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41 pages, 3100 KiB

Open AccessArticle

Macroeconomic Uncertainty and Sectoral Output in Nigeria

by Olajide O. Oyadeyi

Economies 2024, 12(11), 304; https://doi.org/10.3390/economies12110304 - 11 Nov 2024

Cited by 3 | Viewed by 1515

Abstract

The paper examined the impact of macroeconomic uncertainty on the ten largest subsectors of the Nigerian economy using quarterly data from Q1 1981 to Q4 2023. The rationale behind selecting the subsectors is that these sectors constitute about 89 percent of the entire [...] Read more.

The paper examined the impact of macroeconomic uncertainty on the ten largest subsectors of the Nigerian economy using quarterly data from Q1 1981 to Q4 2023. The rationale behind selecting the subsectors is that these sectors constitute about 89 percent of the entire productive activities in the economy. To achieve the objectives, the paper created an index for macroeconomic uncertainty using exchange rate uncertainty, interest rate uncertainty, inflation uncertainty, and real gross domestic product (GDP) uncertainty to create this index. Furthermore, the paper explored the impacts of macroeconomic uncertainty and these individual economic uncertainty indexes on sector output. The study employed the novel dynamic autoregressive distributed lag (novel dynamic ARDL) technique to estimate the results and used the canonical cointegrating regression (CCR) and fully modified ordinary least square (FMOLS) techniques as robustness on the main findings. The findings demonstrated that during periods of recession, macroeconomic uncertainty tends to heighten or reach its peak in Nigeria. Furthermore, the paper showed that the sectors react homogenously to macroeconomic uncertainty. In addition, the impulse response results from the novel dynamic ARDL estimation show that macroeconomic uncertainty can predict robust negative movements in sector output for Nigeria. Indeed, these findings are insightful as they show the importance of macroeconomic uncertainties as key drivers of sector output in Nigeria. The paper argues that the policy authorities should improve their efforts to reduce macroeconomic uncertainty and foster a stable real sector/sectoral output to enhance the macroeconomic environment for Nigeria to aim for higher levels of growth. Full article

(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)

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16 pages, 328 KiB

Open AccessArticle

Economic Policy Uncertainty, Managerial Ability, and Cost of Equity Capital: Evidence from a Developing Country

by Arafat Hamdy, Aref M. Eissa and Ahmed Diab

Economies 2024, 12(9), 244; https://doi.org/10.3390/economies12090244 - 11 Sep 2024

Viewed by 1398

Abstract

This study investigates the relationship between economic policy uncertainty (EPU) and the cost of equity capital (CoEC). It also reveals the moderating role of managerial ability (MA) in the relationship between EPU and CoEC in Saudi Arabia. The study sample consists of listed [...] Read more.

This study investigates the relationship between economic policy uncertainty (EPU) and the cost of equity capital (CoEC). It also reveals the moderating role of managerial ability (MA) in the relationship between EPU and CoEC in Saudi Arabia. The study sample consists of listed non-financial firms in Tadawul from 2008 to 2019. We analyzed data using STATA, depending on Pearson correlation analysis, two independent sample t-tests, OLS regression, and OLS with robust standard errors clustered by firm. Our study shows a positive effect of EPU on the CoEC. In addition, the results confirm that MA mitigates the positive effect of EPU on the CoEC. This is the first research to investigate the influence of the relationship between EPU on CoEC in Saudi Arabia, one of the largest emerging economies in the Middle East and Gulf countries. Our findings motivate decision-makers to strengthen their MA and establish a safe and stable investment environment to ensure better financing and investment decisions during uncertain times. Lending agencies, investors, and other stakeholders should consider the MA of corporations when making investment decisions. Full article

(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)

16 pages, 1841 KiB

Open AccessArticle

The Monetary Model of Exchange Rate Determination for South Africa

by Simiso Msomi and Harold Ngalawa

Economies 2024, 12(8), 206; https://doi.org/10.3390/economies12080206 - 16 Aug 2024

Cited by 1 | Viewed by 2279

Abstract

The disconnect between the exchange rate and its macroeconomic fundamentals has been extensively discussed in the literature. It nonetheless continues to pose theoretical and empirical challenges in the literature. This study examines the relationship between the exchange rate and its fundamentals. This study [...] Read more.

The disconnect between the exchange rate and its macroeconomic fundamentals has been extensively discussed in the literature. It nonetheless continues to pose theoretical and empirical challenges in the literature. This study examines the relationship between the exchange rate and its fundamentals. This study used the monetary model of exchange rate determination developed in the 1970s. The study used the TAR to estimate the exchange change rate behaviour in response to variations in monetary variables. We found that the exchange rates respond to the interest rate differential, consistent with the predictions of the monetary model of exchange rate determination. Furthermore, in all the regimes, the sizes of coefficients are different, which shows that the exchange rate behaviour is non-linear (asymmetric). While the impact of the interest rate differential in regime 1 and 2 leads to exchange rates appreciating although in regime 2 the results are insignificant, this occurs when the exchange rates fluctuate below 0.87 percentage points. In regime 3, on average, a marginal increase in interest rate deferential leads to an exchange rate depreciation. In some instances, the exchange rates respond to the monetary variables’ changes in line with the predictions of the monetary theory of exchange rate determination. An increase in interest rates in some instances leads to an improvement in the value of the exchange rate. However, the conditions are not constant—they vary depending on the state of exchange rate fluctuation. Full article

(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)

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24 pages, 1378 KiB

Open AccessArticle

Market Reactions to U.S. Financial Indices: A Comparison of the GFC versus the COVID-19 Pandemic Crisis

by Dante Iván Agatón Lombera, Diego Andrés Cardoso López, Jesús Antonio López Cabrera and José Antonio Nuñez Mora

Economies 2024, 12(7), 165; https://doi.org/10.3390/economies12070165 - 27 Jun 2024

Cited by 1 | Viewed by 2654

Abstract

This study delves into the impacts of the 2008 global financial crisis (GFC) and the COVID-19 health crisis on U.S. financial indices, exploring the intricate relationship between economic shocks and these indices during downturns. Using Markov switching regression models and control variables, including [...] Read more.

This study delves into the impacts of the 2008 global financial crisis (GFC) and the COVID-19 health crisis on U.S. financial indices, exploring the intricate relationship between economic shocks and these indices during downturns. Using Markov switching regression models and control variables, including GDP, consumer sentiment, industrial production, and the ratio of inventories-to-sale, it quantifies the effects of these crises on the CBOE Volatility Index (VIX), Standard & Poor’s 500 (S&P 500), and the Dow Jones Industrial Average (DJIA) from Q1 2000 to Q2 2023, covering crucial moments of both crises and stable periods (dichotomous variables). Results reveal that the 2008 crisis significantly heightened financial volatility and depreciated the valuation of S&P 500 and DJIA indicators, while the COVID-19 crisis had a diverse impact on market dynamics, particularly negatively affecting specific sectors. This study underscores the importance of consumer confidence and inventory management in mitigating financial volatility and emphasises the need for robust policy measures to address economic shocks, enhance financial stability, and alleviate future crises, especially during endogenous crises such as financial downturns. This research sheds light on the nuanced impact of crises on financial markets and the broader economy, revealing the intricate dynamics shaping market behaviour during turbulent times. Full article

(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)

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20 pages, 3010 KiB

Open AccessArticle

Investigating the Efficiency of Insurance Companies in a Developing Country: A Data Envelopment Analysis Perspective

by Katerina Fotova Čiković, Violeta Cvetkoska and Mila Mitreva

Economies 2024, 12(6), 128; https://doi.org/10.3390/economies12060128 - 22 May 2024

Cited by 1 | Viewed by 2087

Abstract

Insurance companies play a pivotal role in the financial systems of developing countries, wielding substantial influence on systemic financial stability. Thus, understanding their efficiency, performance, and sustainability is paramount for policymakers and stakeholders alike. The aim of this paper is to evaluate the [...] Read more.

Insurance companies play a pivotal role in the financial systems of developing countries, wielding substantial influence on systemic financial stability. Thus, understanding their efficiency, performance, and sustainability is paramount for policymakers and stakeholders alike. The aim of this paper is to evaluate the relative efficiency of insurance companies within the North Macedonian market spanning the years 2018 to 2022. Employing the input-oriented BCC DEA model, the study integrates capital and labour as inputs, while assessing risk-pooling/bearing services and intermediate function as outputs. Our findings underscore the fluctuating efficiency levels within North Macedonia’s insurance sector. Notably, the sector exhibited its peak efficiency in 2018 at 83.62%, dipping to its lowest point of 73.81% in 2020. Moreover, discerning between life and non-life insurers, we observe an average relative efficiency of 0.8067 for non-life insurers, contrasted with a higher average efficiency score of 0.9011 for life insurance companies over the examined period. This study contributes significantly on multiple fronts. Firstly, it pioneers empirical investigation of the efficiency on the North Macedonian insurance market, encompassing pre- and post-COVID efficiency metrics. This fills a notable gap in the literature, particularly within the context of emerging European markets. Secondly, our comprehensive approach facilitates a holistic evaluation of the insurance sector’s performance across a five-year span, offering insights into its overarching dynamics and efficacy. Thirdly, the implications of our findings extend to policymakers, regulators, and insurance company management, aiding in informed decision-making and strategic planning. Full article

(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)

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16 pages, 651 KiB

Open AccessArticle

Green Shocks: The Spillover Effects of Green Equity Indices on Global Market Dynamics

by Tiago Trancoso and Sofia Gomes

Economies 2024, 12(4), 83; https://doi.org/10.3390/economies12040083 - 7 Apr 2024

Cited by 2 | Viewed by 2433

Abstract

This study investigates the impact of green equity indices on global market dynamics using a time-varying parameter vector autoregression (TVP-VAR) model. We uncover a significant shift in the role of the global market, transitioning from a shock transmitter to a shock receiver, as [...] Read more.

This study investigates the impact of green equity indices on global market dynamics using a time-varying parameter vector autoregression (TVP-VAR) model. We uncover a significant shift in the role of the global market, transitioning from a shock transmitter to a shock receiver, as the influence of green finance grows. By directly comparing green equity indices with their corresponding global parent indices, we adopt a global perspective that transcends the limitations of studies focusing on specific regions, such as the USA, China, or Europe. This novel approach minimizes the potential biases in the transmission channels within regional markets, enabling a more comprehensive understanding of the relationship between green finance and global market dynamics. Moreover, by focusing on equity indices we ensure a consistent comparison of financial instruments, avoiding the complexities that arise when comparing different asset classes such as green bonds and conventional equities. For global investors, our results highlight the importance of dynamic and flexible hedging strategies that adapt to the distinct characteristics of green assets and their growing influence on the global market. Risk managers should incorporate these time-varying spillover effects into their models to better assess and mitigate potential risks. Policymakers should consider the growing influence of green finance on the broader market when formulating regulations and incentives to support sustainable investing, as our findings underscore the increasing importance of this sector in shaping market dynamics. Full article

(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)

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24 pages, 1226 KiB

Open AccessArticle

Drivers of S&P 500’s Profitability: Implications for Investment Strategy and Risk Management

by Marek Nagy, Katarina Valaskova, Erika Kovalova and Marcel Macura

Economies 2024, 12(4), 77; https://doi.org/10.3390/economies12040077 - 28 Mar 2024

Cited by 3 | Viewed by 5846

Abstract

The financial markets, shaped by dynamic forces, including macroeconomic trends and technological advancements, are influenced by a multitude of factors impacting the S&P 500 stock index, a pivotal indicator in the US equity markets. This paper highlights the significance of understanding the exogenous [...] Read more.

The financial markets, shaped by dynamic forces, including macroeconomic trends and technological advancements, are influenced by a multitude of factors impacting the S&P 500 stock index, a pivotal indicator in the US equity markets. This paper highlights the significance of understanding the exogenous variables affecting the index’s profitability for academics, portfolio managers, and investment professionals. Amid the global ramifications of the S&P 500, particularly in combating the eroding purchasing power caused by inflation, investing in stock indexes emerges as a means to safeguard wealth. The study employs various statistical techniques, emphasizing a methodical approach to uncover influential variables, and using static regression and autoregressive models for immediate and time-lagged effects. In conclusion, the findings have broad practical implications beyond investment strategy, extending to portfolio construction and risk management. Acknowledging inherent uncertainties in financial market forecasts, future research endeavors should target long-term trends, specific influences, and the impact of exchange rate fluctuations on index evolution. Collaboration across regulatory bodies, academia, and the financial industry is underscored, holding the potential for effective risk monitoring and bolstering overall economic and financial market stability. This research serves as a foundational step towards enhancing market understanding and facilitating more efficient investment decision-making approaches. Full article

(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)

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17 pages, 1524 KiB

Open AccessArticle

Oil Price Spillover Effects to the Stock Market Sentiment: The Case of Higher vs. Lower Oil Import EU Countries

by Stefan Stojkov, Emilija Beker Pucar, Olgica Glavaški and Marina Beljić

Economies 2023, 11(11), 279; https://doi.org/10.3390/economies11110279 - 13 Nov 2023

Cited by 4 | Viewed by 2148

Abstract

The process of deepening the economic integration of European economies reached its peak with the formation of a supranational entity for conducting monetary policy. However, the high degree of financial integration of the market also implied the vulnerability of the economic union in [...] Read more.

The process of deepening the economic integration of European economies reached its peak with the formation of a supranational entity for conducting monetary policy. However, the high degree of financial integration of the market also implied the vulnerability of the economic union in terms of prompt reaction to external shocks with divergent effects. Oil price fluctuations are of essential importance for macroeconomic performance, which is particularly reflected in countries more dependent on the import of this raw material. This research aims to apostrophize the asymmetric effects of oil price fluctuations on the stock market indices on a sample of higher (Germany, Italy, France) vs. lower (Croatia, Bulgaria, Ireland) oil importers. The empirical findings are determined based on impulse response functions derived from the VAR model as well as the Granger causality test of the relationship between stock market indices and oil price fluctuations. In order to identify the isolated impact of oil price movements on stock market indices of selected European economies, the VAR (Vector AutoRegression) model is evaluated in the time period 2013M1-2023M1. The results of the research indicate an asymmetric mechanism of the impact of oil shocks on the financial markets of EU member states. Full article

(This article belongs to the Special Issue Financial Market Volatility under Uncertainty)

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