Have the causal effects between equities, oil prices, and monetary policy changed over time?

We reexamine the contemporaneous causal effects between the U.S. stock prices, crude oil prices, and monetary policy from 2005 to 2022. Our study offers two main contributions. First, we generalize a novel identification approach based on exogenous intraday shifts in the volatility in futures markets from two markets to multiple markets. Second, we examine contemporaneous causal effects between the U.S. stock prices, crude oil prices, and monetary policy. We show that the coefficients measuring contemporaneous causality have substantially changed over time. Specifically, we find that since 2008 stock returns affect crude oil returns. This time variation is also evident in the effect of monetary policy on the crude oil returns. We show that this time variation is consistent with two explanations: the zero lower bound (ZLB) and increased synchronization of crude oil prices with the business cycle.