IDEAS home Printed from https://ideas.repec.org/p/red/sed008/1019.html
   My bibliography  Save this paper

The Term Structure of Oil Prices, Bond Prices, and Monetary Policy

Author

Listed:
  • Bryan Routledge

    (Carnegie Mellon University)

Abstract

We focus on oil prices as the source of inflation mis-measurement for two reasons. First, oil (and energy) prices are significant real shocks to the economy that are often manifest in large price changes (Hamilton 1983, 1996). Second, and more directly relevant to our paper, oil prices are actively traded in futures markets (with liquid trading even at the five and ten year horizon). This allows us to focus on the joint dynamics of bond prices in the term structure as well as the term structure of oil futures prices. The results help explain the puzzling feature that risk premium in oil futures markets are hard to detect (Gorton and Rouwenhorst (2005), Erb and Harvey (2005), Casassus, Collin-Dufresne, and Routledge (2007)) as well as shed light on the reaction of bond prices to oil-price shocks. The paper also provides a different perspective on other empirical features for the term-structure of oil prices.

Suggested Citation

  • Bryan Routledge, 2008. "The Term Structure of Oil Prices, Bond Prices, and Monetary Policy," 2008 Meeting Papers 1019, Society for Economic Dynamics.
    • Handle: RePEc:red:sed008:1019
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:red:sed008:1019. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christian Zimmermann (email available below). General contact details of provider: https://edirc.repec.org/data/sedddea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.