Oil shocks, stock market prices, and the US dividend yield decomposition

被引：15
作者：
Chortareas, Georgios [1 ,2 ]
Noikokyris, Emmanouil [3 ]
机构：
[1] Univ Athens, Dept Econ, Athens 10553, Greece
[2] Kings Coll London, Dept Management, London SE1 9NH, England
[3] Kingston Univ London, Accounting & Finance Dept, Kingston Upon Thames KT2 7LB, Surrey, England
来源：
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2014年 / 29卷
关键词：
Oil price shocks; Stock market prices; Structural VAR; Dividend yield decomposition; ENERGY SHOCKS; MACROECONOMY; RETURN;
D O I：
10.1016/j.iref.2013.06.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We estimate the effects of oil supply and demand shocks on the U.S. dividend yield components (dividend growth, real interest rate, subjective equity premium and mispricing), as they emerge from a decomposition based on the Campbell and Vuolteenaho (2004a) framework. A positive relationship between oil price increases and dividend yield emerges, the persistence of which depends on the news driving oil price increases. The linkages between oil price shocks and dividend yield's components show that a confluence of factors determines the ultimate impact of oil price increases on stock market valuations, revealing information about the oil price pass-through mechanism. (C) 2013 Elsevier Inc. All rights reserved.
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页码：639 / 649
页数：11
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