Oil prices and the U.S. economy: Evidence from the stock market

Willem Thorbecke

Journal of Macroeconomics, 2019, vol. 61, issue C, -

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.

Keywords: Crude oil prices; Stock returns (search for similar items in EconPapers)
JEL-codes: G14 Q43 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

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Working Paper: Oil Prices and the U.S. Economy: Evidence from the Stock Market (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:61:y:2019:i:c:13

DOI: 10.1016/j.jmacro.2019.103137

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