This paper quantifies the reaction of U.S. equity, bond futures, and foreign exchange returns to oil-price shocks. Using instrumental variables methods based on U.S. oil-inventory announcements, the authors find that equity prices decrease in response to higher oil prices before the 2007/08 crisis but increase after it. The U.S. dollar tends to depreciate against a basket of currencies in response to positive oil-price shocks, and this effect is larger after the financial crisis. By contrast, oil-price shocks have a modest effect on bond futures returns. The authors argue that changes in risk premia help to explain the time-varying effect of oil-price shocks on U.S. equity returns.