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...

We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and stock returns for a wide range of net...

We propose a structural vector-autoregressive model for the German natural gas market to investigate the impact of the 2022 Russian supply stop on the German economy. We combine conventional and narrative sign restrictions to leverage information about supply cuts for identification and find...