Oil Prices and the U.S. Economy: Evidence from the stock market
Willem Thorbecke ()
Discussion papers from Research Institute of Economy, Trade and Industry (RIETI)
Using three identification strategies, this paper finds that supply-driven oil price increases lowered U.S. stock returns before the Global Financial Crisis in various sectors including industrial machinery, industrial engineering, chemicals, and marine transport but raised them in these sectors after the crisis. It also reports that oil prices are a priced factor in a multi-factor asset pricing model both before and after the crisis. While oil prices mattered in both periods, the beneficial effects of oil price increases on the U.S. economy have risen and the harmful effects have fallen since U.S. oil production soared after 2010.
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Persistent link: https://EconPapers.repec.org/RePEc:eti:dpaper:19003
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