Resumen:
In this paper, we investigate the impact of oil prices on both aggregate and industry US real stock returns over the period 1973¿2017. The empirical analysis contributes to the related literature introducing a state-dependent oil price (high and low) and the local projections approach. Our main finding is that, depending on the nature of the shock and industry, the negative effects of oil price shocks become exacerbated -and the positive effects get moderated- if oil prices are already high.