The Impact of Oil Price Shocks on the US Stock Market: A Note on the Roles of US and Non-US Oil Production
12 Pages Posted: 12 Jun 2016 Last revised: 16 Jun 2016
Date Written: June 9, 2016
Kilian and Park (IER 50 (2009), 1267-287) 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
JEL Classification: E44, G12, Q43
Suggested Citation: Suggested Citation