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The effect of oil price shocks on asset markets : evidence from oil inventory news / by Ron Alquist, Reinhard Ellwanger and Jianjian Jin.: FB3-5/2020-8E-PDF

"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.

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.886480&sl=0

Publication information
Department/Agency
  • Bank of Canada.
TitleThe effect of oil price shocks on asset markets : evidence from oil inventory news / by Ron Alquist, Reinhard Ellwanger and Jianjian Jin.
Series title
  • Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-8
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Note(s)
  • "Last updated: March 23, 2020."
  • Includes bibliographical references (pages 18-20).
  • Includes abstracts in English and French.
Publishing information
  • Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020.
  • ©2020
Author / Contributor
  • Alquist, Ron, author.
Description1 online resource (iii, 30 pages) : colour illustration.
Catalogue number
  • FB3-5/2020-8E-PDF
Subject terms
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