You can manage bookmarks using lists, please log in to your user account for this.
Media type:
E-Article
Title:
Oil, Equities, and the Zero Lower Bound
Contributor:
Datta, Deepa D.;
Johannsen, Benjamin K.;
Kwon, Hannah;
Vigfusson, Robert J.
Published:
American Economic Association, 2021
Published in:
American Economic Journal: Macroeconomics, 13 (2021) 2, Seite 214-253
Language:
English
DOI:
10.1257/mac.20180488
ISSN:
1945-7707;
1945-7715
Origination:
Footnote:
Description:
From late 2008 to 2014, oil and equity returns were more positively correlated than in other periods. In addition, we show that both oil and equity returns became more responsive to macroeconomic news. We provide empirical evidence that these changes resulted from the zero lower bound (ZLB) on nominal interest rates, consistent with the theoretical predictions of a model that includes the ZLB. Although the ZLB alters the economic environment in theory, supportive empirical evidence has been lacking. Our paper provides clear evidence of the ZLB altering the economic environment. (JEL E12, E32, E43, G12, G14, Q43)