当前位置: X-MOL 学术Energy J. › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
Oil Price Declines Could Hurt U.S. Financial Markets: The Role of Oil Price Level
The Energy Journal ( IF 2.9 ) Pub Date : 2020-09-01 , DOI: 10.5547/01956574.41.5.hngu
Ha Nguyen , Huong Nguyen , Anh Pham

In 2014, oil prices dropped sharply to the lowest level since the Great Recession. Stock prices also declined in this period. This positive correlation between stock prices and oil prices contradicts the conventional expectation that cheaper oil prices benefit oil-importing economies like the United States. Because of this abnormal correlation, many economists believe that declines in both oil prices and the stock market are driven by weak aggregate demand. This paper asks a complementary question: “How do changes in oil prices causally affect financial markets, controlling for shocks to aggregate demand?” To establish a causal effect of a change in oil prices on stock prices, we instrument for changes in oil prices with plausibly exogenous news that might exclusively affect current or future oil supplies. We use daily data of oil, stock, and bond indices from January 2011 to October 2016. Motivated by the debate around how the sharp drop in oil price in 2014 affected the economy, we study the period before and after the drop separately. A structural break test suggests that oil price switched between a high regime and a low regime around November 13, 2014. Therefore, we split the sample on November 13, 2014. We find that from November 13, 2014, a decline in oil price hurt risky assets (equities and high-yield bonds) and lifted safe assets (investment-grade bonds and long-term treasury bonds). This suggests that oil price declines may hurt the operation of the economy (reflected by stock prices) and credit-worthiness of riskier borrowers (reflected by high-yield bond prices). However, from January 1, 2011 to November 13, 2014, our IV estimates on the effects of oil prices on stock prices are negative and statistically insignificant. What makes postNovember 2014 different? We explore a possible explanation that at low and high oil price levels, the effects of oil price fluctuation on financial markets are different, possibly due to concerns about the energy sector and its spillover to the rest of the economy. In fact, the average daily oil price from 2014 to 2016 was $63/barrel, around the break-even price for shale oil extraction. We interact the change in log of oil prices with oil price level and find that this interaction term is negative and significant from November 2014, implying that the adverse effect of oil price declines on financial markets were stronger when oil prices were lower. For the period from 2011 to November 2014, the interaction term is not statistically significant. This suggests that the level of oil prices might not matter much for the relationship between oil prices and stock prices in this period when the average daily oil prices were high, around $95/barrel. Although the interaction result is only suggestive (as oil prices could be correlated with other factors), it is consistent with the explanation that at very low level of oil prices, the concern about oil companies going out of business is magnified, which could have spillover effects to other sectors. The findings highlight important negative spillover of oil price declines to the entire financial markets especially when oil price is low. This suggests a need for close monitoring from policy-makers, so they stand ready to support financial markets if warranted. Future research with firm-level data is important to understand the exact mechanisms through which oil price declines could affect firms’ valuations and operations.

中文翻译:

油价下跌可能损害美国金融市场:油价水平的作用

2014年,油价大幅下跌至大衰退以来的最低水平。股价也在此期间下跌。股票价格与油价之间的这种正相关性与传统的预期相矛盾,即较低的油价有利于美国等石油进口经济体。由于这种异常的相关性,许多经济学家认为油价和股市的下跌都是由疲软的总需求驱动的。本文提出了一个补充问题:“石油价格的变化如何对金融市场产生因果影响,控制对总需求的冲击?” 为了确定石油价格变化对股票价格的因果影响,我们利用可能完全影响当前或未来石油供应的看似外生的消息来衡量石油价格的变化。我们使用石油、库存、2011 年 1 月至 2016 年 10 月的债券指数和债券指数。受围绕 2014 年油价大幅下跌对经济影响的争论的推动,我们分别研究了下跌前后的时期。结构性断裂测试表明,油价在 2014 年 11 月 13 日左右在高位和低位之间转换。因此,我们在 2014 年 11 月 13 日对样本进行了拆分。风险资产(股票和高收益债券)和安全资产(投资级债券和长期国债)。这表明油价下跌可能会损害经济运行(由股票价格反映)和风险较高借款人的信用(由高收益债券价格反映)。但是,从2011年1月1日到2014年11月13日,我们对油价对股票价格影响的 IV 估计为负且在统计上不显着。是什么让 2014 年 11 月后与众不同?我们探讨了一种可能的解释,即在低油价和高油价水平下,油价波动对金融市场的影响是不同的,可能是由于对能源部门及其对经济其他领域的溢出的担忧。事实上,2014 年至 2016 年的平均每日油价为 63 美元/桶,接近页岩油开采的盈亏平衡价格。我们将油价的对数变化与油价水平进行交互,发现该交互项从 2014 年 11 月开始为负且显着,表明油价下跌时油价下跌对金融市场的不利影响更大。2011 年至 2014 年 11 月期间,交互作用项在统计上不显着。这表明,在平均每日油价较高(约 95 美元/桶)的时期,油价水平可能对油价与股价之间的关系没有太大影响。虽然交互结果只是暗示性的(因为油价可能与其他因素相关),但与在油价极低的情况下,石油公司倒闭的担忧被放大,可能会产生溢出效应的解释是一致的对其他行业的影响。调查结果凸显了油价下跌对整个金融市场的重要负面溢出效应,尤其是在油价低迷时。这表明政策制定者需要密切监督,因此他们随时准备在必要时支持金融市场。
更新日期:2020-09-01
down
wechat
bug