|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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Using three identification strategies, this paper finds that supply-driven oil price increases lowered U.S. stock returns before the Global Financial Crisis in various sectors including industrial machinery, industrial engineering, chemicals, and marine transport but raised them in these sectors after the crisis. It also reports that oil prices are a priced factor in a multi-factor asset pricing model both before and after the crisis. While oil prices mattered in both periods, the beneficial effects of oil price increases on the U.S. economy have risen and the harmful effects have fallen since U.S. oil production soared after 2010.