Identifying money and inflation expectation shocks to real oil prices
Author
Abstract
Suggested Citation
DOI: 10.1016/j.eneco.2023.106878
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Benk, Szilárd & Gillman, Max, 2023. "Identifying money and inflation expectation shocks on real oil prices," Bank of Finland Research Discussion Papers 10/2023, Bank of Finland.
References listed on IDEAS
- Haug, Alfred A. & King, Ian, 2014. "In the long run, US unemployment follows inflation like a faithful dog," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 42-52.
- Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013.
"Forecasting the Price of Oil,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 427-507,
Elsevier.
- Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011. "Forecasting the Price of Oil," Staff Working Papers 11-15, Bank of Canada.
- Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011. "Forecasting the price of oil," International Finance Discussion Papers 1022, Board of Governors of the Federal Reserve System (U.S.).
- Kilian, Lutz & Alquist, Ron & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers 8388, C.E.P.R. Discussion Papers.
- Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2012.
"Oil prices, exchange rates and emerging stock markets,"
Energy Economics, Elsevier, vol. 34(1), pages 227-240.
- Syed Abul Basher & Alfred Haug & Perry Sadorsky, 2010. "Oil Prices, Exchange Rates and Emerging Stock Markets," Working Papers 1014, University of Otago, Department of Economics, revised Sep 2010.
- Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2011. "Oil prices, exchange rates and emerging stock markets," MPRA Paper 30140, University Library of Munich, Germany.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2022.
"Energy Markets and Global Economic Conditions,"
The Review of Economics and Statistics, MIT Press, vol. 104(4), pages 828-844, October.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020. "Energy Markets and Global Economic Conditions," Working Papers 2020_08, Business School - Economics, University of Glasgow.
- Baumeister, Christiane & Korobilis, Dimitris & Lee, Thomas K., 2020. "Energy Markets and Global Economic Conditions," CEPR Discussion Papers 14580, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020. "Energy Markets and Global Economic Conditions," NBER Working Papers 27001, National Bureau of Economic Research, Inc.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020. "Energy Markets and Global Economic Conditions," CESifo Working Paper Series 8282, CESifo.
- Christiane Baumeister & Lutz Kilian, 2016.
"Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us,"
Journal of Economic Perspectives, American Economic Association, vol. 30(1), pages 139-160, Winter.
- Baumeister, Christiane & Kilian, Lutz, 2015. "Forty years of oil price fluctuations: Why the price of oil may still surprise us," CFS Working Paper Series 525, Center for Financial Studies (CFS).
- Christiane Baumeister & Lutz Kilian, 2016. "Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us," CESifo Working Paper Series 5709, CESifo.
- Kilian, Lutz & Baumeister, Christiane, 2016. "Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us," CEPR Discussion Papers 11035, C.E.P.R. Discussion Papers.
- Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2016.
"The impact of oil shocks on exchange rates: A Markov-switching approach,"
Energy Economics, Elsevier, vol. 54(C), pages 11-23.
- Syed Abul, Basher & Alfred A, Haug & Perry, Sadorsky, 2015. "The impact of oil shocks on exchange rates: A Markov-switching approach," MPRA Paper 68232, University Library of Munich, Germany.
- A. Anzuini & M. J. Lombardi & P. Pagano, 2013.
"The Impact of Monetary Policy Shocks on Commodity Prices,"
International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 125-150, September.
- Lombardi, Marco J. & Pagano, Patrizio & Anzuini, Alessio, 2010. "The impact of monetary policy shocks on commodity prices," Working Paper Series 1232, European Central Bank.
- Alessio Anzuini & Marco J. Lombardi & Patrizio Pagano, 2012. "The impact of monetary policy shocks on commodity prices," Temi di discussione (Economic working papers) 851, Bank of Italy, Economic Research and International Relations Area.
- Benk, Szilard & Gillman, Max, 2020.
"Granger predictability of oil prices after the Great Recession,"
Journal of International Money and Finance, Elsevier, vol. 101(C).
- Szilard Benk & Max Gillman, 2019. "Granger Predictability of Oil Prices After the Great Recession," IMF Working Papers 2019/237, International Monetary Fund.
- Szilard Benk & Max Gillman, 2019. "Granger Predictability of Oil Prices after the Great Recession," CERGE-EI Working Papers wp650, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Aizenman, Joshua & Ito, Hiro & Pasricha, Gurnain Kaur, 2022.
"Central bank swap arrangements in the COVID-19 crisis,"
Journal of International Money and Finance, Elsevier, vol. 122(C).
- Joshua Aizenman & Hiro Ito & Gurnain Kaur Pasricha, 2021. "Central Bank Swap Arrangements in the COVID-19 Crisis," NBER Working Papers 28585, National Bureau of Economic Research, Inc.
- Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-248, April.
- Lutz Kilian & Daniel P. Murphy, 2014.
"The Role Of Inventories And Speculative Trading In The Global Market For Crude Oil,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 454-478, April.
- Kilian, Lutz & Murphy, Daniel, 2010. "The Role of Inventories and Speculative Trading in the Global Market for Crude Oil," CEPR Discussion Papers 7753, C.E.P.R. Discussion Papers.
- Alfred Haug & Syed Basher & Perry Sadorsky, 2016.
"The impact of oil price shocks on exchange rates: A non-linear smooth-transition approach,"
EcoMod2016
9226, EcoMod.
- Haug, Alfred A. & Basher, Syed Abul, 2017. "Exchange rates of oil exporting countries and global oil price shocks: A nonlinear smooth-transition approach," MPRA Paper 83205, University Library of Munich, Germany.
- Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2018. "The impact of oil-market shocks on stock returns in major oil-exporting countries," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 264-280.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Beckmann, Joscha & Czudaj, Robert L. & Arora, Vipin, 2020. "The relationship between oil prices and exchange rates: Revisiting theory and evidence," Energy Economics, Elsevier, vol. 88(C).
- Kyritsis, Evangelos & Serletis, Apostolos, 2018.
"The zero lower bound and market spillovers: Evidence from the G7 and Norway,"
Research in International Business and Finance, Elsevier, vol. 44(C), pages 100-123.
- Kyritsis, Evangelos & Serletis, Apostolos, 2017. "The Zero Lower Bound and Market Spillovers: Evidence from the G7 and Norway," Discussion Papers 2017/7, Norwegian School of Economics, Department of Business and Management Science.
- Alfred A. Haug & Syed Abul Basher, 2019.
"Exchange rates of oil exporting countries and global oil price shocks: a nonlinear smooth-transition approach,"
Applied Economics, Taylor & Francis Journals, vol. 51(48), pages 5282-5296, October.
- Haug, Alfred A. & Basher, Syed Abul, 2017. "Exchange rates of oil exporting countries and global oil price shocks: A nonlinear smooth-transition approach," MPRA Paper 83205, University Library of Munich, Germany.
- Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2017.
"The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach,"
MPRA Paper
81638, University Library of Munich, Germany.
- Syed Abul Basher & Alfred Haug & Perry Sadorsky, 2017. "The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach," Working Papers 1710, University of Otago, Department of Economics, revised Oct 2017.
- Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2018. "The impact of oil-market shocks on stock returns in major oil-exporting countries," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 264-280.
- Alfred Haug & Syed Basher & Perry Sadorsky, 2016.
"The impact of oil price shocks on exchange rates: A non-linear smooth-transition approach,"
EcoMod2016
9226, EcoMod.
- Haug, Alfred A. & Basher, Syed Abul, 2017. "Exchange rates of oil exporting countries and global oil price shocks: A nonlinear smooth-transition approach," MPRA Paper 83205, University Library of Munich, Germany.
- Cross, Jamie L. & Hou, Chenghan & Nguyen, Bao H., 2021. "On the China factor in the world oil market: A regime switching approach11We thank Hilde Bjørnland, Tatsuyoshi Okimoto, Ippei Fujiwara, Knut Aastveit, Leif Anders Thorsrud, Francesco Ravazzolo, Renee ," Energy Economics, Elsevier, vol. 95(C).
- Yang, Lu & Cai, Xiao Jing & Hamori, Shigeyuki, 2018. "What determines the long-term correlation between oil prices and exchange rates?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 140-152.
- Wong, Jin Boon & Hasan, Mostafa Monzur, 2021. "Oil shocks and corporate payouts," Energy Economics, Elsevier, vol. 99(C).
- Liu, Li & Ma, Feng & Wang, Yudong, 2015. "Forecasting excess stock returns with crude oil market data," Energy Economics, Elsevier, vol. 48(C), pages 316-324.
- Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2019.
"Energy contagion analysis: A new perspective with application to a small petroleum economy,"
Energy Economics, Elsevier, vol. 80(C), pages 890-903.
- Scott M. R. Mahadeo & Reinhold Heinlein & Gabriella Deborah Legrenzi, 2018. "Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy," CESifo Working Paper Series 7279, CESifo.
- Debojyoti Das & M Kannadhasan & Malay Bhattacharyya, 2020. "Oil price shocks and emerging stock markets revisited," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 17(6), pages 1583-1614, December.
- Raghavan, Mala, 2020.
"An analysis of the global oil market using SVARMA models,"
Energy Economics, Elsevier, vol. 86(C).
- Mala Raghavan, 2019. "An analysis of the global oil market using SVARMA models," CAMA Working Papers 2019-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Raghavan, Mala, 2019. "An analysis of the global oil market using SVARMA models," Working Papers 2019-01, University of Tasmania, Tasmanian School of Business and Economics.
- Ioannidis, Christos & Ka, Kook, 2018. "The impact of oil price shocks on the term structure of interest rates," Energy Economics, Elsevier, vol. 72(C), pages 601-620.
- Yin, Libo & Ma, Xiyuan, 2018. "Causality between oil shocks and exchange rate: A Bayesian, graph-based VAR approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 434-453.
- Enwereuzoh, Precious Adaku & Odei-Mensah, Jones & Owusu Junior, Peterson, 2021. "Crude oil shocks and African stock markets," Research in International Business and Finance, Elsevier, vol. 55(C).
- Lorusso, Marco & Pieroni, Luca, 2018.
"Causes and consequences of oil price shocks on the UK economy,"
Economic Modelling, Elsevier, vol. 72(C), pages 223-236.
- Marco Lorusso & Luca Pieroni, 2015. "Causes and Consequences of Oil Price Shocks on the UK Economy," CEERP Working Paper Series 002, Centre for Energy Economics Research and Policy, Heriot-Watt University, revised Nov 2015.
- Knut Are Aastveit & Jamie L. Cross & Herman K. van Dijk, 2023.
"Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 523-537, April.
- Knut Are Aastveit & Jamie L. Cross & Herman K. van Dijk, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Working Paper 2021/3, Norges Bank.
- Knut Are Aastveit & Jamie Cross & Herman K. Djik, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Working Papers No 03/2021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Knut Are Aastveit & Jamie Cross & Herman K. van Dijk, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Tinbergen Institute Discussion Papers 21-053/III, Tinbergen Institute.
- Youssef, Manel & Mokni, Khaled, 2020. "Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach," Journal of Multinational Financial Management, Elsevier, vol. 55(C).
More about this item
Keywords
Real oil Price shocks; SVAR; Money supply; Inflation expectations;All these keywords.
JEL classification:
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
Statistics
Access and download statisticsCorrections
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:eee:eneeco:v:126:y:2023:i:c:s0140988323003766. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eneco .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.