Oil, equities, and the zero lower bound

Deepa Datta, Benjamin K Johannsen, Hannah Kwon and Robert Vigfusson

No 617, BIS Working Papers from Bank for International Settlements

Abstract: Since 2008, oil and equity returns have moved together much more than they did previously. In addition, we show that both oil and equity returns have become more responsive to macroeconomic news. Before 2008, there is little evidence that oil returns were responsive to macroeconomic news. We argue that these results are consistent with a new-Keynesian model that includes oil and incorporates the zero lower bound on nominal interest rates. Our empirical findings lend support the model's implication that different rules apply at the zero lower bound.

Keywords: macroeconomic announcements; news; monetary policy; zero lower bound; fiscal policy; fiscal multiplier (search for similar items in EconPapers)
Pages: 48 pages
Date: 2017-03
New Economics Papers: this item is included in nep-dge, nep-ene and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Related works:
Journal Article: Oil, Equities, and the Zero Lower Bound (2021)
Working Paper: Oil, Equities, and the Zero Lower Bound (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:617

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