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

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posted on 2023-06-22, 01:57 authored by Wensheng Kang, Ronald Ratti, Joaquin VespignaniJoaquin Vespignani

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.

History

Series

Discussion Paper Series 2016‐03

Pagination

12

Publisher

University of Tasmania

Publication status

  • Published

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Copyright 2016 University of Tasmania

Notes

JEL Classification: E44, G12, Q43

Repository Status

  • Open

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