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.
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | The 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 type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| 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. |
| Description | 1 online resource (iii, 30 pages) : colour illustration. |
| Catalogue number |
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| Subject terms | Petroleum products -- Prices -- United States -- Econometric models. Produits pétroliers -- Prix -- États-Unis -- Modèles économétriques. |