Abstract
This article studies the impact of oil price change on the stock market, the exchange rate and the real estate market in the US over the last decade. To this end, we model the dynamics of the returns for these markets and test the effect of oil market volatility on their dynamics. Through different econometric investigations, we show, in the context of Covid‐19, that oil price has experienced significant effects on the US stock market and the US dollar exchange rate, while it has no significant impact on the US real estate market. In particular, we highlight, first, a positive and significant reaction of the stock market toward an oil price shock, which might be explained by the effect of high oil financialization over the last decade. Second, we show an adverse effect of the oil price change on the US dollar, suggesting a negative relationship between the oil price and the US dollar. Accordingly, the information provided by the oil sector might help to improve the forecast of the Dow Jones and the US$\\€ exchange rate.
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