This study investigates the predictability of oil return on stock market return using a series of economic constraints. We find that oil return has a more powerful and stable prediction ability than its asymmetric form using an unconstrained approach and three constraint approaches. A new constraint, regarding the three-sigma rule, can obtain a higher forecast accuracy than other methods. Moreover, compared to univariate macro models, incorporation of oil return can increase the average forecasting performance of 14 macroeconomic predictors. Finally, the predictive performance of oil returns varies during different periods linking to the business cycle, geopolitical risk, and financial crisis. The predictability source of oil returns can be explained from the discount rate channel and the sentiment channel.

本研究使用一系列经济约束来研究石油回报对股票市场回报的可预测性。我们发现回油比使用无约束方法和三约束方法的非对称形式具有更强大和更稳定的预测能力。关于三西格玛规则的新约束可以获得比其他方法更高的预测精度。此外，与单变量宏观模型相比，纳入石油回报可以提高 14 个宏观经济预测变量的平均预测性能。最后，石油回报的预测表现在与商业周期、地缘政治风险和金融危机相关的不同时期有所不同。石油收益的可预测性来源可以从贴现率通道和情绪通道来解释。