Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/241174
Authors: 
Alquist, Ron
Ellwanger, Reinhard
Jin, Jianjian
Year of Publication: 
2020
Series/Report no.: 
Bank of Canada Staff Working Paper No. 2020-8
Publisher: 
Bank of Canada, Ottawa
Abstract: 
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.
Subjects: 
Financial markets
Recent economic and financial developments
JEL: 
D83
E44
G14
G15
Q41
Q43
Document Type: 
Working Paper

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