This paper studies the welfare effects of severalmonetary policy rules in the presence of anticipated and unanticipated oil price shocks. Our analysis is based on a stylized New Keynesian model of a small open economy. Our main findings are the following: i) Standard interest rate rules amplify...

Bis zum Amtsantritt von Gary Gensler ging die US Commodity Futures Trading Commission von einem geringen Einfluss der Spekulanten auf den Rohölpreis aus, während nun eine Neubewertung stattfindet.Dieser Artikel misst die Aktivität der Spekulanten mit Hilfe von Variablen der wöchentlichen...

This paper assesses information contained in the micro dataset of the ECB Survey of Professional Forecasters regarding quarterly Brent crude oil price forecasts. We examine the expectations building mechanism by referring to the processing of information and confirm the presence of information...

I extract three oil risk factors using oil futures prices and returns of oil related firms. The first factor accounts for news that uniformly affects expected oil prices at all horizons, the second factor accounts for news that affects near term expected oil prices, and the third factor accounts...

This paper proposes a simple but comprehensive structural vector autoregressive (SVAR) model to examine the underlying factors of oil price dynamics. The distinguishing feature is to explicitly assess the role of expectations on future aggregate demand and oil supply in addition to the...

It has been forty years since the oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the economic determinants of oil price fluctuations has emerged....

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....

It has been forty years since the oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the economic determinants of oil price fluctuations has emerged....

For oil importers, differences in economic performance after the 1973-74 oil price increase and after the 1979-80 increase can be attributed to a number of factors, including the fact that the 1973-74 oil price increase was unexpected whereas the 1979-80 increase was largely expected. In this...