00000nam 2200000zi 4500 9.886480 CaOODSP 20221107171430 m o d f cr cn||||||||| 200428t20202020onca ob f000 0 eng d CaOODSP eng rda CaOODSP eng eng fre n-us--- y0y1 FB3-5/2020-8E-PDF Alquist, Ron, author. The effect of oil price shocks on asset markets : evidence from oil inventory news / by Ron Alquist, Reinhard Ellwanger and Jianjian Jin. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 1 online resource (iii, 30 pages) : colour illustration. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-8 "Last updated: March 23, 2020." Includes bibliographical references (pages 18-20). "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"--Abstract, page ii. Includes abstracts in English and French. Petroleum products Prices United States Econometric models. Produits pétroliers Prix États-Unis Modèles économétriques. Bank of Canada. Staff working paper (Bank of Canada) 2020-8. (CaOODSP)9.806221 PDF 451 KB https://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-8-eng.pdf