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Federal Reserve Bank of Dallas
Globalization Institute Working Papers
The impact of oil price shocks on the U.S. stock market: a note on the roles of U.S. and non-U.S. oil production
Wensheng Kang
Ronald A. Ratti
Joaquin L. Vespignani
Abstract

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 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. We also show that stock returns respond very differently at the industrial level to non-U.S. and U.S. oil supply shocks.


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Wensheng Kang & Ronald A. Ratti & Joaquin L. Vespignani, The impact of oil price shocks on the U.S. stock market: a note on the roles of U.S. and non-U.S. oil production, Federal Reserve Bank of Dallas, Globalization Institute Working Papers 249, 01 Sep 2015.
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DOI: 10.24149/gwp249
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