|Author Name||Willem THORBECKE (Senior Fellow, RIETI)|
|Creation Date/NO.||January 2019 19-E-003|
|Research Project||East Asian Production Networks, Trade, Exchange Rates, and Global Imbalances|
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First Draft: January 2019
Using three identification strategies, this paper finds that supply-driven oil price increases lowered U.S. stock returns in many sectors before the shale oil revolution but not after. It also reports that oil prices are a priced factor in a multi-factor asset pricing model both before and after the shale revolution. While oil prices mattered in both periods, the beneficial effects of oil price increases on the U.S. stock market have risen and the harmful effects have fallen since U.S. oil production soared after 2010.