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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
Author:Vespignani, J (Dr Joaquin Vespignani)
ID Code:109744
Year Published:2016
Web of Science® Times Cited:5
Deposited By:Tasmanian School of Business and Economics
Deposited On:2016-06-29
Last Modified:2017-11-22
Downloads:0

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