Granger predictability of oil prices after the Great Recession

Szilard Benk and Max Gillman

Journal of International Money and Finance, 2020, vol. 101, issue C

Abstract: 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.

Keywords: Oil price shocks; Granger predictability; Monetary base; M1 Divisia; Swaps; Inflation (search for similar items in EconPapers)
JEL-codes: E51 E52 Q43 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Related works:
Working Paper: Granger Predictability of Oil Prices after the Great Recession (2019)
Working Paper: Granger Predictability of Oil Prices After the Great Recession (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:101:y:2020:i:c:s0261560619301305

DOI: 10.1016/j.jimonfin.2019.102100

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