Strait of Hormuz crisis and euro area financial market spillovers: An event-targeted approach

摘要

The closure of the Strait of Hormuz during the U.S.-Israel-Iran conflict disrupted global energy trade and repriced euro area financial markets. Using a daily event-targeted vector autoregression, we estimate the effects of Hormuz-related geopolitical shocks on equities, sovereign yields, inflation expectations, and core–periphery spreads. A negative shock comparable to the initial closure reduces the Euro Stoxx by over 4%, raises German one-year yields by about 30 basis points and inflation swaps by 15 basis points, and widens spreads. Historical decompositions show these shocks explained much of the initial market response, though other factors became increasingly important as markets adapted.