The asymmetric impact of oil price uncertainty on emerging market financial stress: A quantile regression approach
研究原油隐含波动率指数（OVX）对新兴市场金融压力（EMFS）的影响，发现OVX正向影响EMFS，且在压力高时更敏感，仅正向冲击有预测力，信用市场压力是关键驱动因素。
Abstract This study investigates the effects of the crude oil implied volatility index (OVX) upon emerging market financial stress (EMFS). We resort to a quantile regression framework as this approach is a better alternative to disentangle the relationship under different market conditions. Besides, we also examine how EMFS responds to the lags and asymmetries in the OVX. The empirical results show significantly positive impacts of OVX upon EMFS. Further, the effects of OVX become more assertive in the upper quantiles of EMFS, implying higher sensitivity to OVX when stress levels are high. In terms of the lagged effects, the relationship is transient as the OVX coefficients become weaker with increasing lag sizes. We further find that only positive impulses in OVX can significantly predict EMFS. Lastly, we report evidence that the Credit market stress is a crucial driver of EMFS.