The effect of oil price: shocks on asset markets : evidence from oil inventory news

by Ron Alquist, Reinhard Ellwanger and Jianjian Jin

We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Across most sectors, equity prices decrease in response to higher oil prices before the 2007/08 crisis but increase after it. Positive oil price shocks cause a depreciation of the U.S. dollar against a broad range of currencies but have only a modest effect on bond futures returns. The evidence suggests that changes in risk premia help to explain the time-varying effect of oil price shocks on U.S. equity returns.

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Year of publication:	[2020] ; Last updated: March 23, 2020
Authors:	Alquist, Ron ; Ellwanger, Reinhard ; Jin, Jianjian
Publisher:	[Ottawa] : Bank of Canada
Subject:	Financial markets \| Recent economic and financial developments \| Ölpreis \| Oil price \| Finanzmarkt \| Financial market \| Volatilität \| Volatility \| Welt \| World \| Börsenkurs \| Share price

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Extent:	1 Online-Ressource (circa 34 Seiten) Illustrationen
Series:	Staff working paper / Bank of Canada. - Ottawa : [Verlag nicht ermittelbar], ISSN 1701-9397, ZDB-ID 2278568-1. - Vol. 2020, 8
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/241174 [Handle]
Classification:	D83 - Search, Learning, Information and Knowledge ; E44 - Financial Markets and the Macroeconomy ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets ; Q41 - Demand and Supply ; Q43 - Energy and the Macroeconomy
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012181225