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The impact of oil price shocks on the U.S.stock market after becoming a net oil exporter

Koppang, Jo Alexander; Amundsen, Sivert Kristian
Master thesis
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Preliminary Thesis.pdf (663.1Kb)
URI
http://hdl.handle.net/11250/2483953
Date
2017
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  • Master of Science [1525]
Abstract
In our thesis, we study the effects of oil price shocks on the U.S. stock market. The

U.S. has transitioned from being a net importer of oil, to becoming a net exporter in

recent years. This is mainly due to “The Shale Oil Revolution” which was made

possible by technological innovation. Our main analysis is motivated by our

hypothesis that U.S. real stock returns now react positively to a positive oil price

shock. Contrary to the old common perception that stock returns in the U.S. decrease

when the oil price increases. We used the framework by Kilian & Park from their

article “The Impact of Oil Price Shocks on The U.S. Stock Market” (2009). They

used a Structural Vector Autoregressive (SVAR) model, to capture the dynamics

between the variables. Using our subsample in our model, we found that U.S. stock

returns now respond positively to positive oil price shock. After our main analysis,

we offer some critique to Kilian & Park, mainly regarding The Kilian Index, as well

as discuss other possible specifications of the model.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2017
Publisher
BI Norwegian Business School

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