THE IMPACT OF OIL PRICE SHOCKS ON THE US STOCK MARKET

被引：1169

作者：

Kilian, Lutz ^{[1
]}

Park, Cheolbeom ^{[1
]}

机构：

[1] Korea Univ, Seoul, South Korea

来源：

INTERNATIONAL ECONOMIC REVIEW | 2009年 / 50卷 / 04期

关键词：

SUPPLY SHOCKS; REAL ACTIVITY; RETURNS; INFLATION; ENERGY; COMOVEMENT; OUTPUT;

D O I：

10.1111/j.1468-2354.2009.00568.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：1267 / 1287

页数：21

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