{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,25]],"date-time":"2026-08-25T19:29:04Z","timestamp":1787686144380,"version":"build-2784847793"},"reference-count":58,"publisher":"The Econometric Society","issue":"2","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by-nc\/4.0\/legalcode"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["QE"],"abstract":"<jats:p>This paper proposes a new mixed vector autoregression (MVAR) model to examine the relationship between aggregate time series and functional variables in a multivariate setting. The model facilitates a reexamination of the oil\u2010stock price nexus by estimating the effects of demand and supply shocks from the global market for crude oil on the entire distribution of U.S. stock returns since the late 1980s. We show that the MVAR effectively extracts information from the returns distribution that is more relevant for understanding the oil\u2010stock price nexus beyond simply looking at the first few moments. Using novel functional impulse response functions (FIRFs), we find that oil market demand shocks tend to increase returns, while both demand and supply shocks reduce volatility, and have an asymmetric effect on the returns distribution as a whole. In a value\u2010at\u2010risk (VaR) analysis, we also find that the oil market contains important information that reduces expected loss, and that the response of VaR to the oil market demand and supply shocks has changed over time.<\/jats:p>","DOI":"10.3982\/qe2358","type":"journal-article","created":{"date-parts":[[2026,4,30]],"date-time":"2026-04-30T12:29:57Z","timestamp":1777552197000},"page":"541-589","source":"Crossref","is-referenced-by-count":2,"title":["Oil and the stock market revisited: A mixed functional VAR approach"],"prefix":"10.3982","volume":"17","author":[{"given":"Hilde C.","family":"Bj\u00f8rnland","sequence":"first","affiliation":[{"name":"Department of Economics, BI Norwegian Business School"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Yoosoon","family":"Chang","sequence":"additional","affiliation":[{"name":"Department of Economics, Indiana University"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jamie L.","family":"Cross","sequence":"additional","affiliation":[{"name":"Melbourne Business School, University of Melbourne"},{"name":"Department of Economics, BI Norwegian Business School"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"2359","published-online":{"date-parts":[[2026]]},"reference":[{"issue":"9","key":"quan70020-bib-0001","doi-asserted-by":"crossref","first-page":"1711","DOI":"10.1016\/0014-2921(88)90081-5","volume":"32","author":"Ahmed","year":"1988","journal-title":"European Economic Review"},{"key":"quan70020-bib-0002","doi-asserted-by":"crossref","first-page":"171","DOI":"10.5547\/01956574.36.3.zals","author":"Alsalman","year":"2015","journal-title":"The Energy Journal"},{"issue":"2","key":"quan70020-bib-0003","doi-asserted-by":"crossref","first-page":"203","DOI":"10.2307\/2330824","volume":"25","author":"Baillie","year":"1990","journal-title":"Journal of Financial and Quantitative Analysis"},{"issue":"3","key":"quan70020-bib-0004","doi-asserted-by":"crossref","first-page":"666","DOI":"10.1017\/S1365100516000353","volume":"22","author":"Bastianin","year":"2018","journal-title":"Macroeconomic Dynamics"},{"key":"quan70020-bib-0005","unstructured":"Baumeister, Christiane (2024), \u201cOECD+6 industrial production.\u201d Personal website of Professor Christiane Baumeister. https:\/\/sites.google.com\/site\/cjsbaumeister\/research."},{"issue":"5","key":"quan70020-bib-0006","doi-asserted-by":"crossref","first-page":"1873","DOI":"10.1257\/aer.20151569","volume":"109","author":"Baumeister","year":"2019","journal-title":"American Economic Review"},{"issue":"5","key":"quan70020-bib-0007","doi-asserted-by":"crossref","first-page":"578","DOI":"10.1111\/1467-9957.00220","volume":"68","author":"Bj\u00f8rnland","year":"2000","journal-title":"The Manchester School"},{"issue":"2","key":"quan70020-bib-0008","doi-asserted-by":"crossref","first-page":"232","DOI":"10.1111\/j.1467-9485.2009.00482.x","volume":"56","author":"Bj\u00f8rnland","year":"2009","journal-title":"Scottish Journal of Political Economy"},{"issue":"6","key":"quan70020-bib-0009","doi-asserted-by":"crossref","first-page":"1000","DOI":"10.1002\/jae.3059","volume":"39","author":"Bj\u00f8rnland","year":"2024","journal-title":"Journal of Applied Econometrics"},{"key":"quan70020-bib-0010","doi-asserted-by":"crossref","first-page":"941","DOI":"10.1016\/j.jimonfin.2012.08.002","volume":"32","author":"Bodenstein","year":"2013","journal-title":"Journal of International Money and Finance"},{"key":"quan70020-bib-0011","doi-asserted-by":"crossref","first-page":"209","DOI":"10.1016\/j.irfa.2016.10.002","volume":"48","author":"Boldanov","year":"2016","journal-title":"International Review of Financial Analysis"},{"key":"quan70020-bib-0012","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4612-1154-9","volume-title":"Linear Processes in Function Spaces","author":"Bosq","year":"2000"},{"key":"quan70020-bib-0013","doi-asserted-by":"crossref","first-page":"459","DOI":"10.2307\/2526209","author":"Burbidge","year":"1984","journal-title":"International Economic Review"},{"issue":"3","key":"quan70020-bib-0014","doi-asserted-by":"crossref","first-page":"239","DOI":"10.1016\/S0140-9883(02)00111-1","volume":"25","author":"Cabedo","year":"2003","journal-title":"Energy Economics"},{"issue":"12","key":"quan70020-bib-0015","doi-asserted-by":"crossref","first-page":"4021","DOI":"10.1086\/731411","volume":"132","author":"Chang","year":"2024","journal-title":"Journal of Political Economy"},{"key":"quan70020-bib-0016","doi-asserted-by":"crossref","unstructured":"Chang, Yoosoon, Fabio G\u00f3mez-Rodr\u00edguez, and Mr Gee Hee Hong (2022), \u201cThe effects of economic shocks on heterogeneous inflation expectations.\u201d International Monetary Fund Working Paper 22\/132.","DOI":"10.5089\/9798400212734.001"},{"key":"quan70020-bib-0017","doi-asserted-by":"crossref","unstructured":"Chang, Yoosoon, Soyoung Kim, and Joon Y. 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