Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model

doi:10.1016/j.iref.2020.10.019

	Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model
	Jiang, Yong 3,4; Wang, Gang-Jin 2,4; Ma, Chaoqun 4; Yang, Xiaoguang 1
刊名	INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
	2021-03-01
卷号	72 页码:1-15
关键词	Oil price shocks Stock returns Credit regimes Structure threshold VAR Nonlinear impulse response functions
ISSN号	1059-0560
DOI	10.1016/j.iref.2020.10.019
英文摘要	This paper aims to examine whether the effect of oil price shocks on the stock market varies across different credit conditions. Based on the U.S. monthly stock data at the aggregate level and industry levels from January 1990 to January 2018, we use a structural threshold vector autoregressive (TVAR) model to investigate reactions of stock returns to oil price shocks under different credit conditions. Our empirical results show that there exists asymmetrical response of U.S. stock returns to crude oil price shocks substantially depends on credit conditions. In particular, oil prices have a negative effect on equity market returns when the U.S. economy is in a normal credit condition, while the relationship is reversed in a tight credit condition. We find (i) that there is no significant difference in the impact of oil prices on stock returns among various industries, and (ii) that the effect of oil price shocks on stock returns is only significant in the short-term rather than in the long-term.
资助项目	National Natural Science Foundation of China[71871088] ; National Natural Science Foundation of China[71501066] ; National Natural Science Foundation of China[71790593] ; National Natural Science Foundation of China[71850008] ; National Natural Science Foundation of China[71521061] ; Natural Science Foundation of Jiangsu Higher Education Institutions[20KJA120002] ; Department of Science and Technology of Hunan Province[2018GK1020] ; Huxiang Youth Talent Support Program ; Priority Academic Program Development of Jiangsu Higher Education Institutions (Office of Jiangsu Provincial People's Government)[[2018] 87]
WOS研究方向	Business & Economics
语种	英语
出版者	ELSEVIER
WOS记录号	WOS:000620678100001
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/58233]
专题	中国科学院数学与系统科学研究院
通讯作者	Wang, Gang-Jin
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Hunan Univ, Ctr Finance & Investment Management, Changsha 410082, Hunan, Peoples R China 3.Nanjing Audit Univ, Sch Finance, Nanjing 211815, Peoples R China 4.Hunan Univ, Business Sch, Changsha 410082, Hunan, Peoples R China
推荐引用方式 GB/T 7714	Jiang, Yong,Wang, Gang-Jin,Ma, Chaoqun,et al. Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE,2021,72:1-15.
APA	Jiang, Yong,Wang, Gang-Jin,Ma, Chaoqun,&Yang, Xiaoguang.(2021).Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model.INTERNATIONAL REVIEW OF ECONOMICS & FINANCE,72,1-15.
MLA	Jiang, Yong,et al."Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model".INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 72(2021):1-15.