The Impact of Oil Price Shocks on the U.S. Stock Market: A Note on the Roles of U.S. and non-U.S. Oil Production

Kilian and Park (IER 50 (2009), 1267–1287) find shocks to oil supply are relatively
unimportant to understanding changes in U.S. stock returns. We examine the impact of
both U.S. and non-U.S. oil supply shocks on U.S. stock returns in light of the
unprecedented expansion in U.S. oil production since 2009. Our results underscore the
importance of the disaggregation of world oil supply and of the recent extraordinary
surge in the U.S. oil production for analysing impact on U.S. stock prices. A positive U.S.
oil supply shock has a positive impact on U.S. real stock returns. Oil demand and supply
shocks are of comparable importance in explaining U.S. real stock returns when supply
shocks from U.S. and non-U.S. oil production are identified.