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

Wensheng Kang, Ronald Ratti and Joaquin Vespignani

No 249, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

Abstract: Kilian and Park (IER 50 (2009), 1267?1287) find shocks to oil supply are relatively unimportant to understanding changes in U.S. stock returns. We examine the impact of both U.S. and non-U.S. oil supply shocks on 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. We also show that stock returns respond very differently at the industrial level to non-U.S. and U.S. oil supply shocks.

JEL-codes: E44 G12 Q43 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2015-09-01
New Economics Papers: this item is included in nep-ene and nep-mac
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: 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 (2016)
Working Paper: The impact of oil price shocks on the US stock market: A note on the roles of US and non-US oil production (2016)
Working Paper: The impact of oil price shocks on the US stock market: A note on the roles of the US and non-US oil production (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:249

DOI: 10.24149/gwp249

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