Oil, Equities, and the Zero Lower Bound

Datta, Deepa Dhume; Johannsen, Benjamin K.; Kwon, Hannah; Vigfusson, Robert J.

doi:10.1257/mac.20180488

Cited by 13 publications

(5 citation statements)

References 51 publications

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“…Unlike Garin, Lester and Sims (2019) and Wieland (2019), we find that shocks that depress aggregate supply increase output during the ZLB periods relative to the normal periods. Finally, our findings are consistent with the indirect evidence in Datta, Johannsen, Kwon and Vigfusson (2021). The authors estimate that oil prices and equity returns are more positively correlated in the recent past than before and that both variables become more responsive to macroeconomic news, consistent with the prediction of a model where the ZLB alters the economic environment.…”

Section: Introductionsupporting

confidence: 89%

How Oil Shocks Propagate: Evidence on the Monetary Policy Channel

Miyamoto,

Nguyen,

Sergeyev

2023

ERWP

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Using high-frequency responses of oil futures prices to prominent oil market news, we estimate the effects of oil supply news shocks when systematic monetary policy is switched off by the zero lower bound (ZLB) and when it is not (normal periods) in Japan, the United Kingdom, and the United States. We find that negative oil supply news shocks are less contractionary (and even expansionary) at the ZLB compared to normal periods. Inflation expectations increase during both periods, while the short nominal interest rates remain constant at the ZLB, pointing to the importance of monetary policy for oil shock propagation.

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Section: Introductionsupporting

confidence: 89%

How Oil Shocks Propagate: Evidence on the Monetary Policy Channel

Miyamoto,

Nguyen,

Sergeyev

2023

ERWP

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“…Further tests on each of these dates show that the null of no structural break at April 2004 is accepted at 5% while the null is rejected for October 2008. Datta et al ( 2021 ), who examine the correlations between stock and oil returns, also find a breakpoint of September 2008. In the case of oil-importers, the structural break indicates five multiple breaks with two confirmed by further tests: April 1998 and September 2002.…”

Section: Resultsmentioning

confidence: 95%

Stock and oil price returns in international markets: Identifying short and long-run effects

Osah

Mollick

2022

J Econ Finan

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This paper examines how stock returns respond to oil prices with monthly data from 1990 to 2020 for 12 major economies: 6 oil-exporting countries and 6 oil-importing countries. Combining short and long-run empirical approaches in country-by-country analyses, we first document varying effects of oil price returns in the short-term, while increases in volatility (changes in VIX or geopolitical risk) have negative effects on stock markets. Dynamic OLS (DOLS) estimators show in the long-run positive oil price effects on stock markets for oil-exporters and relatively weaker negative evidence for oil-importers. Interest rate increases have strong negative effects in the long run. Panel analyses shed further light on these results along with structural breaks. Our findings suggest complementary insights from the DOLS long-run approach: oil prices and bond yields have expected signs and volatility has mixed effects on stock markets. Supplementary Information The online version contains supplementary material available at 10.1007/s12197-022-09602-x.

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“…Bodenstein et al ( 2012 ) show that the United States monetary policy responses depend on the source of the observed oil price fluctuations, in the context of a global dynamic stochastic general equilibrium model with endogenous oil markets. Lombardi and Ravazzolo ( 2016 ); Datta et al ( 2021 ) provide empirical evidence of the stronger connection between crude oil and financial markets at the zero lower bound.…”

Section: Resultsmentioning

confidence: 99%

World Commodity Prices and Economic Activity in Advanced and Emerging Economies

Liu

Serletis

2021

Open Econ Rev

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We investigate the volatility dynamics of commodity price and the dependence structure between commodity prices and output growth in the G7 and EM7 economies using a semiparametric GARCH-in-Mean copula approach. We show that for the G7 economies, a symmetric weak tail dependence exists between commodity prices and outputs in France, Germany, and Japan. For the EM7 economies, a lower tail dependence is observed between commodity prices and output growth in Brazil, and a symmetric weak tail dependence is observed in Indonesia. No statistically significant tail dependence between commodity prices and output growth is found for the rest of the G7 and EM7 economies.

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Oil, Equities, and the Zero Lower Bound

Cited by 13 publications

References 51 publications

How Oil Shocks Propagate: Evidence on the Monetary Policy Channel

How Oil Shocks Propagate: Evidence on the Monetary Policy Channel

Stock and oil price returns in international markets: Identifying short and long-run effects

World Commodity Prices and Economic Activity in Advanced and Emerging Economies

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