Oil prices and the U.S. economy: Evidence from the stock market

Abstract

Using three identification strategies, this paper finds that supply-driven oil price increases lowered U.S. stock returns in many sectors before the shale oil revolution but not after. It also reports that oil prices are a priced factor in a multi-factor asset pricing model both before and after the shale revolution. While oil prices mattered in both periods, the beneficial effects of oil price increases on the U.S. stock market have risen and the harmful effects have fallen since U.S. oil production soared after 2010.

Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries

“…Oil price is a systematic risk variable that affects stock returns (Thorbecke 2019 ). Our TVP-VAR results are in line with Nadal’s et al ( 2017 ), where oil demand shocks deeply affect the relationships at work throughout the sample period.…”

The Impact of the COVID-19 Pandemic on the U.S. Economy: Evidence from the Stock Market

“…The third is the nominal effective exchange rate, following a body of research that investigates sectors' exchange rate exposures (see, e.g., Dominguez and Tesar 2006). The fourth is the price of oil, reflecting the large impact of oil prices across U.S. sectors (see, e.g., Thorbecke 2019). The fifth is inflation, drawing on evidence that inflation is a state variable that matters for stock returns (see, e.g., Chen et al 1986).…”

Uluslararasi Fosi̇l Yakit Fi̇yatlarinin Fi̇nansal Pi̇yasalar Üzeri̇ndeki̇ Etki̇si̇ni̇n Ardl Sinir Testi̇ İle İncelenmesi̇: 1986-2019 Dönemi̇ Türki̇ye Örneği̇

“…Çalışmanın sonucunda kömür fiyatları ile borsa endeksi arasında pozitif korelasyon olduğu ayrıca değişkenler arasında çift yönlü bir nedensellik ilişkisinin bulunduğu ortaya konulmuştur. Thorbecke (2019) ise çalışmasında petrol fiyatlarının Amerikan hisse senetleri üzerindeki etkisini incelemiştir. Çok faktörlü varlık fiyatlandırma modeli ile yapılan incelemeler sonucunda 1990-2007 döneminde petrol fiyatlarındaki arz kaynaklı artışların hisse senedi getirilerine negatif etkisi olduğu bu durumun 2010-2018 döneminde ise tersine döndüğü ifade edilmiştir.…”