Granger predictability of oil prices after the Great Recession

被引：15

作者：

Benk, Szilard ^{[1
]}

Gillman, Max ^{[2
]}

机构：

[1] Int Monetary Fund, 700 19th St NW, Washington, DC 20431 USA

[2] Univ Missouri, Dept Econ, 1 Uninvers Blvd, St Louis, MO 63121 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2020年 / 101卷

关键词：

Oil price shocks; Granger predictability; Monetary base; M1; Divisia; Swaps; Inflation;

D O I：

10.1016/j.jimonfin.2019.102100

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Real oil prices surged from 2009 through 2014, comparable to the 1970s oil shock period. Standard explanations based on monopoly markup fall short since inflation remained low after 2009. This paper contributes strong evidence of Granger (1969) predictability of nominal factors to oil prices, using one adjustment to monetary aggregates. This adjustment is the subtraction from the monetary aggregates of the 2008-2009 Federal Reserve borrowing of reserves from other Central Banks (Swaps), made after US reserves turned negative. This adjustment is key in that Granger predictability from standard monetary aggregates is found only with the Swaps subtracted. (C) 2019 Elsevier Ltd. All rights reserved.

引用

页数：10

共 17 条

[1]

Alquist R, 2013, HBK ECON, P427, DOI 10.1016/B978-0-444-53683-9.00008-6

[2]

Barsky RB, 2002, NBER MACROECON ANN, V16, P137

[3] Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us [J].

Baumeister, Christiane ;

Kilian, Lutz .

JOURNAL OF ECONOMIC PERSPECTIVES, 2016, 30 (01) :139-160

[4]

Blinder Alan S., 2009, Brookings Papers on Economic Activity, V2009, P262

[5]

Bordo Michael D., 2014, 20755 NBER, P3

[6]

Friedman Milton., 1994, MONEY MISCHIEF EPISO

[7]

Giles David, 2011, ECONOMETRICS BE 0429

[8] Monetary effects on nominal oil prices [J].

Gillman, Max ;

Nakov, Anton .

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2009, 20 (03) :239-254

[9] INVESTIGATING CAUSAL RELATIONS BY ECONOMETRIC MODELS AND CROSS-SPECTRAL METHODS [J].

GRANGER, CWJ .

ECONOMETRICA, 1969, 37 (03) :424-438

[10]

Hamilton JD, 2009, BROOKINGS PAP ECO AC, P215

← 1 2 →