THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*
2009/10/26 by Lutz Kilian, Cheolbeom Park · 1,843 citations
Economics, Econometrics and Finance · Energy · #Crude oil #Demand shock #Economics #Global Energy and Sustainability Research #Market Dynamics and Volatility #Microeconomics #Monetary Policy and Economic Impact #Monetary economics #Monetary policy #Oil price #Oil supply #Shock (circulatory) #Stock (firearms) #Stock market #Supply and demand #Supply shock
paper · doi:10.1111/j.1468-2354.2009.00568.x
published in International Economic Review 50(4), 1267-1287 (Wiley)
openalex publication_date 2009/10/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/04
Abstract
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.
Citations
Cited by
- Quantile time-frequency connectedness analysis between crude oil, gold, financial markets, and macroeconomic indicators: Evidence from the US and EU
- Economic and supply chain impacts from energy price shocks in Southeast Asia
- Sanction or Financial Crisis? An Artificial Neural Network-Based Approach to model the impact of oil price volatility on Stock and industry indices
- THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL
- What Drives Oil Prices? Emerging Versus Developed Economies
- Is Stock Price Correlated with Oil Price? Spurious Regressions with Moderately Explosive Processes
- Oil price shocks and stock market anomalies
- Oil Shocks and the Financial Markets: A Review
- Oil prices, US stock return, and the dependence between their quantiles
- Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries
- The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil. [europepmc]
- Oil price shocks, economic policy uncertainty and industrial economic growth in China. [europepmc]
- Stock market returns and oil price shocks: A CoVaR analysis based on dynamic vine copula models. [europepmc]
- Tail risk connectedness in clean energy and oil financial market. [europepmc]
- Spillover connection between oil prices, energy risk exposure, and financial stability: implications for the COVID-19 pandemic. [europepmc]
- Modelling systemic risk of energy and non-energy commodity markets during the COVID-19 pandemic. [europepmc]
- Volatility connectedness of GCC stock markets: how global oil price volatility drives volatility spillover in GCC stock markets? [europepmc]
- The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels. [europepmc]
- A Markov Switching Approach in Assessing Oil Price and Stock Market Nexus in the Last Decade: The Impact of the COVID-19 Pandemic. [europepmc]
- On the relationship between oil market and European stock returns. [europepmc]
- Do implied volatilities of stock and commodity markets affect conventional & shariah indices differently? An evidence by OVX, GVZ and VIX. [europepmc]
- Asymmetric dynamic risk transmission between financial stress and monetary policy uncertainty: thinking in the post-covid-19 world [europepmc]
- The Time–Frequency Relationship between Oil Price, Stock Returns and Exchange Rate [europepmc]
- World Commodity Prices and Economic Activity in Advanced and Emerging Economies [europepmc]
- Stock and oil price returns in international markets: Identifying short and long-run effects [europepmc]
- Changes in oil price and economic policy uncertainty and the G7 stock returns: evidence from asymmetric quantile regression analysis [europepmc]
- Impact of Coronavirus on Indian Stock Market - An Event Study with Reference to Nifty 50 [europepmc]
- Pandemics and Oil Shocks [europepmc]
- A Vaccine for Volatility? Financial Market Reactions to the Arrival of the Covid-19 Vaccine [europepmc]
- Pandemics and Oil Shocks [europepmc]
Related