THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*
发现美国股市对油价变化的反应取决于油价变动是由需求还是供给冲击引起的，两类冲击共同解释了美国实际股票回报长期变动的22%。
It is shown that the reaction of U.S. real stock returns to an oil price shock differs greatly depending on whether the change in the price of oil is driven by demand or supply shocks in the oil market. The demand and supply shocks driving the global crude oil market jointly account for 22% of the long‐run variation in U.S. real stock returns. The responses of industry‐specific U.S. stock returns to demand and supply shocks in the crude oil market are consistent with accounts of the transmission of oil price shocks that emphasize the reduction in domestic final demand.