 Explaining the time-varying effects of oil market shocks on US stock returnsClaudia Foroni, Pierre Guérin and Massimiliano Marcellino Economics Letters, 2017, vol. 155, issue C, 84-88 Abstract: This paper documents time-variation in the relation between oil price and US equity returns based on both reduced-form and structural analyses. Our reduced-form analysis suggests that the sign of the relation between real oil returns and real stock returns has changed over time, and that in the recent period this relation has turned positive since early 2007 (but started increasing since 2005). Based on our structural analysis, we find that oil-specific demand shocks have had positive effects on the US stock market since 2009 as opposed to oil supply shocks, which have no large effects on stock returns. We also show that the time variation in the parameters of the structural VAR is very well explained by the level of the US short-term interest rate and shifts in consumer confidence. Keywords: Stock returns; Oil market shocks; Time-varying parameter VAR (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:155:y:2017:i:c:p:84-88 DOI: 10.1016/j.econlet.2017.03.017 Access Statistics for this article Economics Letters is currently edited by Economics Letters Editorial Office More articles in Economics Letters from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.