Impacts of oil shocks on stock markets in Norway and Japan: Does monetary policy's effectiveness matter?

Soheil Roudari, Walid Mensi*, Sami Al Kharusi, Farzaneh Ahmadian-Yazdi

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


This paper examines the simultaneous effects of oil shocks on stock markets under different regimes in Norway (as an oil-exporting economy) and Japan (as an oil-importing economy). We use a Structural Threshold VAR model and rely on the monetary policy's effectiveness. Our results show that oil shocks, mainly oil demand shocks, are significantly associated with the oil structure of the country (oil-exporting or oil-importing), channels of the effectiveness of the monetary policy, and the stock market regimes. Furthermore, the channel through which the money supply growth affects Norway's economic growth depends on the stock market regimes. Moreover, the results persist for the money growth-inflation nexus. Similarly, the impact of oil demand shocks depends on the Japanese stock market's regime and the monetary policy's effectiveness. Finally, we find that positive output shocks positively affect the stock markets of both countries in the long run regardless of the stock market conditions. In the short run, a positive inflation shock has a negative (positive) impact on Norway (Japan) during bullish and bearish market conditions.

Original languageEnglish
Pages (from-to)343-358
Number of pages16
JournalInternational Economics
Publication statusPublished - May 2023


  • Effectiveness of the monetary policy
  • Oil shocks
  • Stock market
  • TSVAR model

ASJC Scopus subject areas

  • Business, Management and Accounting(all)
  • Economics, Econometrics and Finance(all)

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