This paper examines the impacts of economic policy uncertainty and oil price shocks on stock returns of U.S. airlines using both industry and firm-level data. Our empirical approach considers a structural vector-autoregressive model with variables recognized to be important for airline returns including jet fuel price volatility. Empirical results confirm that oil price increase, economic uncertainty and jet fuel price volatility have significantly adverse effect on real stock returns of airlines both at industry and at firm level. In addition, we also find that hedging future fuel purchase has statistically positive impact on the smaller airlines. Our results suggest policy implications for practitioners, managers of airline industry and commodity investors.

中文翻译：

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航空业的经济不确定性、油价、对冲和美股回报


本文使用行业和公司层面的数据研究了经济政策不确定性和油价冲击对美国航空公司股票回报的影响。我们的实证方法考虑了结构向量自回归模型，其中的变量被认为对航空公司回报很重要，包括航空燃油价格波动。实证结果证实，油价上涨、经济不确定性和航油价格波动对航空公司的行业和公司实际股票回报率均产生显着不利影响。此外，我们还发现，对冲未来的燃油购买对小型航空公司具有统计上的积极影响。我们的研究结果对航空业从业者、管理者和大宗商品投资者提出了政策影响。