شوک نفت، قیمت های بازار سهام و تجزیه عملکرد سود سهام ایالات متحده

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.

The rising oil prices in the 70s and the international episodes of stagflation that ensued have motivated an enormous amount of research on the effects of oil prices on the macroeconomy (e.g., Brown and Yücel, 2002, Hamilton, 2003 and Naifar and Al Dohaiman, 2013). This line of research remained buoyant even during the period of the “great moderation”, which was characterized by relatively lower macroeconomic volatility (Sims & Zha, 2006), but, nevertheless, experienced several episodes of large movements in oil prices.1 No consensus still exists, however, on a number of issues including the ultimate impact of oil price shocks on the macroeconomy, the direction of causality between them, and the channels through which these effects materialize (e.g., Barsky and Kilian, 2004 and Hooker, 1996). This paper produces further evidence on the effects of oil price changes on asset markets. In particular, we focus on the effects of oil supply and demand shocks on the components of the U.S. dividend yield, namely, the dividend growth, real interest rate, subjective equity premium, and mispricing. We explore the linkage between the U.S. stock market valuations and oil price changes by analyzing how oil price shocks are related to investors' expectations of firms' future cash flows and discount rates. Standard discounted-cash-flow models for stock price valuation suggest that stock price movements are determined by the changes in expectations of future cash flows and of the rates that will be used to discount them to the present (e.g., Campbell & Shiller, 1988). Exploring, therefore, how oil price shocks feed through to these expectations can allow pinning down the possible explanations for the effects of oil price fluctuations on the stock market. Existing evidence on the impact of oil price changes on stock market prices provides mixed and inconclusive results. While a number of studies find that there does not exist an apparent significant link between oil prices and the stock market (Chen et al., 1986, Huang et al., 1996 and Wei, 2003), other studies suggest that oil price increases adversely affect stock prices (Ciner, 2001, Jones and Kaul, 1996, Kling, 1985 and Sadorsky, 1999). Moreover, there is evidence that oil price changes are significant predictors of stock market returns (Driesprong et al., 2008 and Fan and Jahan-Parvar, 2012). Kilian and Park (2009) and Apergis and Miller (2009) find that in order to assess the implications of oil price increases one needs to know the underlying causes for the higher oil prices, and they examine the impact of Kilian's (2009) oil supply and demand shocks on stock market data. Kilian and Park (2009) find that oil price shocks explain more than 20% of the U.S. stock returns' volatility in the long run, while Apergis and Miller (2009), who use an adaptation of the same methodology, find that although oil price shocks exert the expected by theory effects on a sample of international stock markets, these effects are small in magnitude. Another relevant line of research attempts to empirically identify the determinants of stocks' reaction to oil price shocks. Jones and Kaul (1996), exploring the link between oil price shocks and stocks' future returns and cash flows, find that the U.S. stocks' reaction to oil price shocks can be completely explained by the effects of oil price changes on firms' future real cash flows. Kilian and Park (2009), however, find that oil price shocks influence the historical evolution of both firms' expected future cash flows and expected future real stock returns. Although both studies establish a relationship of future excess returns and dividend growth with oil price shocks, they do not allow further inferences regarding the nature of these relationships. In this paper we study the timing, persistence, and economic significance of the effects of unexpected oil price increases on the future discount rate and cash flows of the U.S. stock market. Specifically, we combine two empirical frameworks to analyze the effects of oil supply and demand shocks, as defined by Kilian (2009), on the U.S. dividend yield components, with the later being extracted from the methodology of Campbell and Vuolteenaho (2004a). The empirical methodology of Campbell and Vuolteenaho (2004a) allows the decomposition of the (log) dividend yield into four components attributable to the subjectively expected equity premium, the real interest rate, the mispricing, and the rationally forecasted excess dividend growth. In order to obtain quantitative estimates for the effects of oil price shocks on each one of the U.S. dividend yield's components separately, we employ the structural dynamic framework of Kilian and Park (2009). This model's specification takes into account the possibility that the relationship between oil prices and economic activity can be highly nonlinear (Hamilton, 1996, Lee et al., 1995 and Mork, 1989), and that oil prices are driven by both oil supply and oil demand shocks (Kilian, 2008). Identifying how the structural shocks impact on the dividend yield components reveals whether the effects of oil price shocks on the U.S. dividend yield can be explained by their effects on the subjective equity premium, the excess dividend growth, the real interest rate, and/or mispricing. The outcome from this empirical exercise, therefore, conveys information about the possible channels of transmission and may help to test existing presumptions regarding the transmission mechanism. The complexity of the mechanisms through which the oil price transmission materializes, along with the contradictory results from existing empirical analyses (e.g., Barsky and Kilian, 2001, Barsky and Kilian, 2004 and Hamilton and Herrera, 2004), renders the identification of these channels an empirical task. The organization of the paper is as follows. The next section reports the results from the (log) dividend yield decomposition of Campbell and Vuolteenaho (2004a). We extract the four components comprising the (log) U.S. dividend yield and we report their time series evolution along with some bias measures. Section 3 uses a dynamic structural framework, along the lines of Kilian and Park (2009), to investigate the effects of oil demand and supply shocks on the dividend yield components identified in the previous section. The section reports the cumulative impulse responses and the variance decomposition of the changes in the four components to the oil shocks and discusses the empirical results. Finally, Section 4 concludes.

Theoretical motivations and practical oncerns render the effects of oil price shocks on real economic activity and financial markets a subject of enduring importance for economic and financial analysts. This paper analyzes the effects of oil price shocks on the U.S. dividend yield. The existing research on this relationship to date has focused mainly on measuring the effects of oil price increases on stock prices, and on identifying the asymmetries inherent in this relationship. Limited research exists, owever, onwhy this impact occurs. In this paper, we consider the oil price transmission channel, and we examine how oil prices affect the U.S. stock market. In particular, we provide a characterization of the pass-through of oil supply and demand shocks into the ationally expected discount rates and excess dividend growth, and into the stock markets' ispricing, which are in turn estimated by the Campbell and Vuolteenaho (2004a) approach. To obtain the shocks we use the methodological approach of Kilian (2009). Our results indicate that the impact of higher oil prices on the U.S. dividend yield depends on the reason driving the increase in oil prices. Oil-market specific demand shocks explain a higher proportion of the U.S. dividend yield's variability in the short-term as compared to the oil supply and aggregate demand hocks, while in the long-run all three oil price shocks appear to be equally significant. The direction and timing of the impact of each oil price shock on the U.S. dividend yield also exhibit significant differences. In particular, oil supply shocks exert positive but delayed effects, aggregate demand shocks exert negative effects during the first year and positive afterwards, and, finally, oil market-specific demand shocks have sustained positive effects. Turning to the more fundamental question of what explains the relationship between oil price shocks and the U.S. dividend yield, we find that the ultimate effect of oil price shocks on the stock market goes through many different channels. Specifically, higher oil prices driven by news about reduced supply of oil trigger positive changes in the U.S. dividend yield, because they raise expectations about higher future subjective equity premium and real interest rates. If higher oil prices are driven by news about higher global aggregate demand, however, they lower the U.S. dividend yield for the first 9 months, because they lower subjective equity premium, excess dividend growth, and mispricing. Nevertheless, after 18 months positive aggregate demand shocks trigger sustained positive changes to the U.S. dividend yield, because they increase expectations of future excess dividend growth, mispricing, and real interest rates. Finally, we find that positive oil market-specific demand shocks cause positive changes in the U.S. dividend yield, because they trigger sustained positive changes in the subjective equity premium and real interest rate components. The linkages between the oil price shocks and the changes in the U.S. dividend yield's components unveil information about the oil price pass-through mechanism, providing evidence that oil price shocks enter the stock price discovery process because they influence inflation, productivity, real interest rates, levels of uncertainty, and monetary policy. Finally, given that the literature considering the oil shocks' effects is focused mostly on the U.S., it could be informative if future research could be extended to other developed oil-importing economies.