Oil Prices and the U.S. Economy: Evidence from the Stock Market

Willem Thorbecke

Discussion papers from Research Institute of Economy, Trade and Industry (RIETI)

Abstract: Using three identification strategies, this paper finds that supply-driven oil price increases lowered U.S. stock returns in many sectors before the shale oil revolution but not after. It also reports that oil prices are a priced factor in a multi-factor asset pricing model both before and after the shale revolution. While oil prices mattered in both periods, the beneficial effects of oil price increases on the U.S. stock market have risen and the harmful effects have fallen since U.S. oil production soared after 2010.

Pages: 33 pages
Date: 2019-01
New Economics Papers: this item is included in nep-ene and nep-fmk
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Citations: View citations in EconPapers (22)

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Journal Article: Oil prices and the U.S. economy: Evidence from the stock market (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eti:dpaper:19003

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