The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies
| Autor: | Bradley T. Ewing, Ronald A. Ratti, Wensheng Kang |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Upstream (petroleum industry)
Economics and Econometrics business.industry 020209 energy Oil supply 05 social sciences Fossil fuel 02 engineering and technology Monetary economics Vector autoregression General Energy 0502 economics and business 0202 electrical engineering electronic engineering information engineering Economics Stock market 050207 economics business Stock (geology) |
| Zdroj: | Energy Economics. 72:505-516 |
| ISSN: | 0140-9883 |
| Popis: | A time-varying parameter VAR model is used to examine the impact of structural oil supply shocks on the US real stock market return of oil and gas exploration and production companies. The result shows that the impact response of the real return of the upstream stocks to a negative world non-US oil supply shock increases substantially over recent years, from an average value of 0.70% in 2006 to 6.16% during 2008–2010, with a spike of 6.81% in 2014Q3. The endogenous effects of US oil supply shocks on the return play an important role, in that the responses of the stock returns to a negative US oil supply shock are positive and persistent with an average value of 3.60% over time. The time-varying effects of oil supply shocks are heterogeneous. The magnitudes of return responses are different among independents, large proved-reserve independents and integrated companies over time. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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