The adequacy of energy has always been a subject of public attention, which especially the oil energy in the most status of the global economy, has been the focus of attention. The United States is rich in unconventional oil -“shale oil”. Because of past mining developed technology, many people believed that there was no exploitation value, but since the twenty-first century, shale oil technology had been matured, such as horizontal drilling and pressure fluid cracking technology. Now, shale oil is considered to have the energy that can change the status of major oil discovery.
This study uses drastic decline in oil prices in 2014 as a time division point and respectively explores the impact that variables relevance between before and after this period. In this study, shale oil is regarded as the main subject of research, through research methods of single test, ARCH effect test and multivariate GARCH test. To use US dollar index, gold, crude oil index, Dow Jones Industrial Average and the S & P500 variables to analyze each other whether existing long-term co-movement, correlation and volatility spillover effects.
Empirical results show that the shale oil on the US dollar index, Dow Jones Industrial Average, the S & P500, WTI crude oil, Brent crude oil and gold all exist volatility spillover effects in 2014 oil prices decline period. It means that shale oil exist co-movement and influence on these macroeconomic indices.