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

Bryan Routledge ()

No 1019, 2008 Meeting Papers from Society for Economic Dynamics

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.

Date: 2008
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed008:1019

Access Statistics for this paper

More papers in 2008 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().