In this paper, we investigate the asymmetric relation between the price of crude oil and U.S. aggregate real stock returns. In doing so, we estimate a nonlinear bivariate structural vector autoregression that includes the effects of oil price volatility on stock returns. We use the estimates of our nonlinear model to calculate the responses of stock returns to unexpected increases and decreases in prices of crude oil and conduct a test of symmetry on these responses. In contrast to the existing literature, we find that aggregate returns respond asymmetrically to positive and negative oil price shocks, and oil price volatility plays a major role in asymmetries by having a negative effect on stock returns. Our empirical results hold in case of disaggregate returns, after reestimating our nonlinear bivariate model with the returns of various industries.

在本文中，我们研究了原油价格与美国实际股票总回报之间的不对称关系。这样做时，我们估计了一个非线性双变量结构向量自回归，其中包括石油价格波动对股票收益的影响。我们使用非线性模型的估计来计算股票收益对原油价格意外上涨和下跌的响应，并对这些响应进行对称性检验。与现有文献相比，我们发现总回报对正负油价冲击的反应不对称，而油价波动对股票收益产生负面影响，在不对称中起着重要作用。我们的实证结果适用于分解回报的情况，