Oil Price Shocks and the US Stock Market: Slope Heterogeneity Analysis

Abstract

This study investigates the oil and stock prices nexus in the US economy over the period 1980-2016. Using breakpoint regression technique, our findings are twofold: 1) we confirm the existence of the nexus as established in the existing literature on the subject; 2) while the relationship between the oil and stock prices remains intact, the slope changes over time, thus identifying a non-linear relationship.