Oil shocks, stock market prices, and the U.S. dividend yield decomposition

Georgios Chortareas and Emmanouil Noikokyris

International Review of Economics & Finance, 2014, vol. 29, issue C, 639-649

Abstract: We estimate the effects of oil supply and demand shocks on the U.S. dividend yield components (dividend growth, real interest rate, subjective equity premium and mispricing), as they emerge from a decomposition based on the Campbell and Vuolteenaho (2004a) framework. A positive relationship between oil price increases and dividend yield emerges, the persistence of which depends on the news driving oil price increases. The linkages between oil price shocks and dividend yield's components show that a confluence of factors determines the ultimate impact of oil price increases on stock market valuations, revealing information about the oil price pass-through mechanism.

Keywords: Oil price shocks; Stock market prices; Structural VAR; Dividend yield decomposition (search for similar items in EconPapers)
JEL-codes: E32 G12 Q43 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:29:y:2014:i:c:p:639-649

DOI: 10.1016/j.iref.2013.06.001

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