Will Oil Price Volatility Cause Market Panic?

It is generally known that violent oil price volatility will cause market panic; however, the extent to which worthy of empirical test. Firstly, this paper employs TVP-VAR model analyze time-varying impacts on panic index using monthly data from January 1990 November 2021. Then, after SVAR decompose volatility, uses PDL heterogeneous different sources. Finally, based results decomposition, TARCH asymmetric in directions. The show that: (1) can indeed panic, and these exhibit characteristics; (2) sources has index, order high low oil-specific demand shocks, supply aggregate shocks; (3) positive shocks have greater than negative.