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The impact of oil price shocks on the US stock market: A note on the roles of the US and non-US oil production

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Kang, W and Ratti, R and Vespignani, JL (2016) The impact of oil price shocks on the US stock market: A note on the roles of the US and non-US oil production. Discussion Paper. University of Tasmania. (Unpublished)

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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 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.

Item Type: Report (Discussion Paper)
Keywords: oil prices, stock returns, U.S. oil production
Publisher: University of Tasmania
Date Deposited: 07 Nov 2016 04:21
Last Modified: 27 Mar 2017 03:25
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