The impact of oil price shocks on the U.S. stock market

Lutz Kilian, Cheolbeom Park

Research output: Contribution to journalArticlepeer-review

1189 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)1267-1287
Number of pages21
JournalInternational Economic Review
Issue number4
Publication statusPublished - 2009 Nov

ASJC Scopus subject areas

  • Economics and Econometrics


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