Alquist, Ron; Ellwanger, Reinhard; Jin, Jianjian - 2020 - Last updated: March 23, 2020
We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil … increase after it. Positive oil price shocks cause a depreciation of the U.S. dollar against a broad range of currencies but … time-varying effect of oil price shocks on U.S. equity returns. …