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008200428t20202020onca    ob   f000 0 eng d
040 |aCaOODSP|beng|erda|cCaOODSP
0410 |aeng|beng|bfre
043 |an-us---
045 |ay0y1
0861 |aFB3-5/2020-8E-PDF
1001 |aAlquist, Ron, |eauthor.
24514|aThe effect of oil price shocks on asset markets : |bevidence from oil inventory news / |cby Ron Alquist, Reinhard Ellwanger and Jianjian Jin.
264 1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2020.
264 4|c©2020
300 |a1 online resource (iii, 30 pages) : |bcolour illustration.
336 |atext|btxt|2rdacontent
337 |acomputer|bc|2rdamedia
338 |aonline resource|bcr|2rdacarrier
4901 |aStaff working paper = Document de travail du personnel, |x1701-9397 ; |v2020-8
500 |a"Last updated: March 23, 2020."
504 |aIncludes bibliographical references (pages 18-20).
5203 |a"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.
546 |aIncludes abstracts in English and French.
650 0|aPetroleum products|xPrices |zUnited States|xEconometric models.
650 6|aProduits pétroliers|xPrix|zÉtats-Unis|xModèles économétriques.
7102 |aBank of Canada.
830#0|aStaff working paper (Bank of Canada)|v2020-8.|w(CaOODSP)9.806221
85640|qPDF|s451 KB|uhttps://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-8-eng.pdf