Arbeitspapier
The effect of oil price shocks on asset markets: Evidence from oil inventory news
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Staff Working Paper ; No. 2020-8
- Klassifikation
-
Wirtschaft
Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
Financial Markets and the Macroeconomy
Information and Market Efficiency; Event Studies; Insider Trading
International Financial Markets
Energy: Demand and Supply; Prices
Energy and the Macroeconomy
- Thema
-
Financial markets
Recent economic and financial developments
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Alquist, Ron
Ellwanger, Reinhard
Jin, Jianjian
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2020
- DOI
-
doi:10.34989/swp-2020-8
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Alquist, Ron
- Ellwanger, Reinhard
- Jin, Jianjian
- Bank of Canada
Entstanden
- 2020
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