Monetary policy and the oil futures market

Sandra Eickmeier; Marco J. Lombardi

We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial activity shocks both have a significant effect on the oil price. (ii) Monetary policy has made large positive contributions to oil price growth in 2008. (iii) Monetary policy affects the oil price primarily through fundamental (supply and demand) channels rather than through financial activity. -- Oil prices ; monetary policy ; financial activity ; VAR model ; sign restrictions

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Year of publication:	2012
Authors:	Eickmeier, Sandra ; Lombardi, Marco
Publisher:	Frankfurt am Main : Dt. Bundesbank
Subject:	Geldpolitik \| Monetary policy \| Schock \| Shock \| Geldpolitische Transmission \| Monetary transmission \| Ölpreis \| Oil price \| VAR-Modell \| VAR model \| Schätzung \| Estimation \| Welt \| World \| Erdölpreis \| Vektor-autoregressives Modell

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Extent:	Online-Ressource graph. Darst.
Series:	Discussion paper. - Frankfurt am Main : Deutsche Bundesbank, ISSN 2941-7503, ZDB-ID 2660941-1. - Vol. 35/2012
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
ISBN:	978-3-86558-874-6 ; 978-3-86558-873-9
Other identifiers:	hdl:10419/67718 [Handle]
Classification:	E52 - Monetary Policy (Targets, Instruments, and Effects) ; C32 - Time-Series Models ; Q41 - Demand and Supply ; Q31 - Demand and Supply ; Geld, Inflation, Kapitalmarkt ; Volkswirtschaftliche Ressourcen, Umweltökonomie
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009682077