The impact of oil price shocks on the US stock market: A note on the roles of US and non-US oil production

Wensheng Kang, Ronald Ratti and Joaquin Vespignani

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

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 U.S. 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. A positive U.S. oil supply shock has a positive impact on U.S. real stock returns. Oil demand and supply shocks are of comparable importance in explaining U.S. real stock returns when supply shocks from U.S. and non-U.S. oil production are identified.

Keywords: Oil prices; Stock returns; U.S. oil production (search for similar items in EconPapers)
JEL-codes: E44 G12 Q43 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2016-06
New Economics Papers: this item is included in nep-ene, nep-fmk and nep-mac
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Citations: View citations in EconPapers (81)

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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 the US and non-US oil production (2016)
Working Paper: 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 (2015)
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