外文文献： 石油价格冲击，美国股市和欧洲13个国家Oil price shocks and Stock markets in the U.S. and 13 European Countries.pdfVIP

Oil price shocks and Stock markets in the U.S. and 13 European Countries Jung Wook Park and Ronald A. Rattia Department of Economics, University of Missouri-Columbia, MO 65211, U.S.A. August 2007 Abstract Oil price shocks have a statistically significant impact on real stock returns contemporaneously and/or within the following month in the U.S. and 13 European countries over 1986:1-2005:12. Norway as an oil exporter shows a statistically significantly positive response of real stock return to an oil price increase. The median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6% of the volatility in real stock returns. For many European countries, but not for the U.S., increased volatility of oil prices significantly depresses real stock returns. The contribution of oil price shocks to variability in real stock returns in the U.S. and most other countries is greater than that of interest rate. An increase in real oil price significantly raises the short-term interest rate in the U.S. and eight out of 13 European countries within one or two months. Counter to findings for the U.S., there is no evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for any of the European countries. JEL classification : G 12; Q 43; Key words : Oil price shocks, oil price volatility, real stock returns aCorresponding author. Tel.: 5738826474; fax: 5728822697 E-mail address: RattiR@ Oil price shocks and Stock markets in the U.S. and 13 European Countries I. Introduction Following the major oil price shocks of the 1970s a large literature developed on the relationship between oil prices and real economic activity. Work by Hamilton (1983) in particul