Oil Shocks, Economic Policy Uncertainty, Financial Uncertainty and Global Stock Market: The Role of U.S. Oil Production Over the Financial Crisis

Abstract

Using monthly data from January 1985 to December 2018, I examine the impact of oil shocks, economic policy uncertainty and financial uncertainty on the global stock market. I find a negative and persistent effect of economic policy uncertainty and financial uncertainty of the U.S. on global stock market. Moreover, I confirm that positive shocks to the U.S. oil production and demand for crude oil have a significant and positive influence on global stock returns over the financial crisis. I also examine the impact of oil shocks on economic policy uncertainty and financial uncertainty and find that positive U.S. oil production shocks alleviate economic policy uncertainty and financial uncertainty over the financial crisis time period.