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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Bank of Canada Staff Working Paper ; No. 2020-8
- Classification
-
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
- Subject
-
Financial markets
Recent economic and financial developments
- Event
-
Geistige Schöpfung
- (who)
-
Alquist, Ron
Ellwanger, Reinhard
Jin, Jianjian
- Event
-
Veröffentlichung
- (who)
-
Bank of Canada
- (where)
-
Ottawa
- (when)
-
2020
- DOI
-
doi:10.34989/swp-2020-8
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Alquist, Ron
- Ellwanger, Reinhard
- Jin, Jianjian
- Bank of Canada
Time of origin
- 2020
Other Objects (12)
Endogenously segmented asset market in an inventory theoretic model of money demand
The effects of oil price uncertainty on the macroeconomy
On the tail risk premium in the oil market
How oil supply shocks affect the global economy: Evidence from local projections
Futures markets, oil prices and the intertemporal approach to the current account
Asset-liability management: An overview
Do oil price increases cause higher food prices?
Extreme downside risk in asset returns
Real-time forecasts of the real price of oil
Forecasting the price of oil
Optimal taxation in asset markets with adverse selection
News-driven international credit cycles
Endogenously segmented asset market in an inventory theoretic model of money demand
The effects of oil price uncertainty on the macroeconomy
On the tail risk premium in the oil market
How oil supply shocks affect the global economy: Evidence from local projections
Futures markets, oil prices and the intertemporal approach to the current account
Asset-liability management: An overview
Do oil price increases cause higher food prices?
Extreme downside risk in asset returns
Real-time forecasts of the real price of oil
Forecasting the price of oil
Optimal taxation in asset markets with adverse selection
News-driven international credit cycles
Endogenously segmented asset market in an inventory theoretic model of money demand
The effects of oil price uncertainty on the macroeconomy
On the tail risk premium in the oil market
How oil supply shocks affect the global economy: Evidence from local projections
Futures markets, oil prices and the intertemporal approach to the current account
Asset-liability management: An overview
Do oil price increases cause higher food prices?
Extreme downside risk in asset returns
Real-time forecasts of the real price of oil
Forecasting the price of oil
Optimal taxation in asset markets with adverse selection