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The impact of oil price shocks on the U.S. stock market: a note on the roles of U.S. and non‐U.S. oil production
Citation
Kang, W and Ratti, RA and Vespignani, J, The impact of oil price shocks on the U.S. stock market: a note on the roles of U.S. and non‐U.S. oil production, Economics Letters, 145 pp. 176-181. ISSN 0165-1765 (2016) [Refereed Article]
Copyright Statement
© 2016 Elsevier B.V. All rights reserved.
DOI: doi:10.1016/j.econlet.2016.06.008
Abstract
Kilian and Park (2009) find shocks to oil supply are relatively unimportant to understanding changes in
U.S. stock returns.Weexamine the impact of both U.S. and non-U.S. oil supply shocks on U.S. stock returns in light of the unprecedented expansion in U.S. oil production since 2009. Our results underscore the importance of the disaggregation of world oil supply and of the recent extraordinary surge in the U.S. oil production for analysing impact on U.S. stock prices. A positive U.S. oil supply shock has a positive impact on U.S. real stock returns. Oil demand and supply shocks are of comparable importance in explaining U.S. real stock returns when supply shocks from U.S. and non-U.S. oil production are identified.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Keywords: | global interest rate, global monetary aggregates, oil prices, GFAVEC |
| Research Division: | Economics |
| Research Group: | Applied economics |
| Research Field: | Macroeconomics (incl. monetary and fiscal theory) |
| Objective Division: | Economic Framework |
| Objective Group: | Macroeconomics |
| Objective Field: | Monetary policy |
| UTAS Author: | Vespignani, J (Associate Professor Joaquin Vespignani) |
| ID Code: | 109744 |
| Year Published: | 2016 |
| Web of Science® Times Cited: | 72 |
| Deposited By: | TSBE |
| Deposited On: | 2016-06-29 |
| Last Modified: | 2017-11-27 |
| Downloads: | 0 |
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