  We study the impact of oil price shocks on the U.S. stock market volatility.
We jointly analyze three different structural oil market shocks (i.e.,
aggregate demand, oil supply, and oil-specific demand shocks) and stock market
volatility using a structural vector autoregressive model. Identification is
achieved by assuming that the price of crude oil reacts to stock market
volatility only with delay. This implies that innovations to the price of crude
oil are not strictly exogenous, but predetermined with respect to the stock
market. We show that volatility responds significantly to oil price shocks
caused by unexpected changes in aggregate and oil-specific demand, whereas the
impact of supply-side shocks is negligible.
