The link between crude oil price and stock returns of the Group of Seven (G7) countries (Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States) was analyzed in this study using monthly data from January 1999 to March 2020. We adopt a similar approach to Kilian (Am Econ Rev 99(3):1053–1069, 2009) and construct a structural vector autoregression framework to decompose crude oil price shocks into oil supply shock, oil aggregate demand shock, and oil-specific demand shock. We then explore the distinct effects of different kinds of oil price shocks from various sources. Based on the decomposed oil price shocks, we apply the connectedness approach and QQ regression to find time-varying co-movements and tail dependence between oil price shocks and G7 stock returns. There is no general correlation between the decomposed oil prices and stock returns in these countries. The effects of oil price shocks on stock returns across different stock market conditions appear to be heterogeneous. Oil supply shock appears to be a net transmitter of spillover effects for all G7 countries within the sample period.

中文翻译：

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油价冲击和股票收益之间的溢出和分位数联系：来自 G7 国家的新证据

本研究使用 1999 年 1 月至2020 年 3 月。我们采用与 Kilian 类似的方法（Am Econ Rev 99(3):1053–1069, 2009），并构建了一个结构向量自回归框架，将原油价格冲击分解为石油供应冲击、石油总需求冲击和石油- 特定的需求冲击。然后，我们探讨了来自不同来源的不同类型油价冲击的不同影响。基于分解后的油价冲击，我们应用连通性方法和 QQ 回归来发现油价冲击与 G7 股票收益之间的时变联动和尾部依赖性。在这些国家，分解的油价和股票收益之间没有普遍的相关性。在不同的股市条件下，油价冲击对股票收益的影响似乎是异质的。石油供应冲击似乎是样本期内所有 G7 国家溢出效应的净传递者。