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The Relationship between Oil and Equities at the Zero Lower Bound

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Abstract

Economists have observed that the correlation between oil price changes and equity returns changed dramatically after 2008. Before 2008, oil and equity prices were generally uncorrelated, while after 2008 they became highly correlated.

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  • Brian Reinbold & Paulina Restrepo-Echavarria, 2018. "The Relationship between Oil and Equities at the Zero Lower Bound," The Regional Economist, Federal Reserve Bank of St. Louis, vol. 26(1).
    • Handle: RePEc:fip:fedlre:00174
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    File URL: https://www.stlouisfed.org/publications/regional-economist/first-quarter-2018/oil-equities-zero
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    Cited by:

    1. Martínez-Cañete, Ana R. & Márquez-de-la-Cruz, Elena & Pérez-Soba, Inés, 2022. "Non-linear cointegration between oil and stock prices: The role of interest rates," Research in International Business and Finance, Elsevier, vol. 59(C).

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