THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*

International Economic Review - Tập 50 Số 4 - Trang 1267-1287 - 2009
Lutz Kilian1,2, Cheolbeom Park1,2
1Korea University, Korea
2University of Michigan, U.S.A., and CEPR

Tóm tắt

It is shown that the reaction of U.S. real stock returns to an oil price shock differs greatly depending on whether the change in the price of oil is driven by demand or supply shocks in the oil market. The demand and supply shocks driving the global crude oil market jointly account for 22% of the long‐run variation in U.S. real stock returns. The responses of industry‐specific U.S. stock returns to demand and supply shocks in the crude oil market are consistent with accounts of the transmission of oil price shocks that emphasize the reduction in domestic final demand.

Từ khóa


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Thông tin
Thông tin xuất bản

International Economic Review

Tập 50 Số 4

1267-1287

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