Oil, Equities, and the Zero Lower Bound

• 成果类型: Article
• 署名作者: Datta, Deepa D.; Johannsen, Benjamin K.; Kwon, Hannah; Vigfusson, Robert J.
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20180488
• 发表日期: 2021
• 页码: 214-253
• 关键词: supply shocks; monetary-policy; energy prices; commodity; hypothesis; MARKETS; IMPACT; news

摘要

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.