On the influence of the U.S. monetary policy on the crude oil price volatility

Alessandra Amendola (), Vincenzo Candila and Antonio Scognamillo

No 207860, 2015 Fourth Congress, June 11-12, 2015, Ancona, Italy from Italian Association of Agricultural and Applied Economics (AIEAA)

Abstract: Modeling crude oil volatility is of substantial interest for both energy researchers and policy makers. This paper aims to investigate the impact of the U.S. monetary policy on crude oil future price (COFP) volatility. By means of the recently proposed generalized autoregressive conditional hetroskedasticity mixed data sampling (GARCH-MIDAS) model, a proxy of the U.S. monetary policy is included into the COFP volatility equation, alongside with other macroeconomic determinants. Strong evidence that an expansionary monetary policy is associated with an increase of the COFP volatility is found. In particular, an expansionary (restrictive) variation in monetary policy anticipates a positive (negative) variation in COFP volatility. Furthermore, an out of sample forecasting procedure shows that the estimated GARCH-MIDAS model has a superior predictive ability with respect to that of the GARCH(1,1), when the U.S. monetary policy exhibits severe changes in the run-up period.

Keywords: Agricultural; and; Food; Policy (search for similar items in EconPapers)
Pages: 16
Date: 2015-06
New Economics Papers: this item is included in nep-cba, nep-ene, nep-for and nep-mon
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Journal Article: On the influence of US monetary policy on crude oil price volatility (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aiea15:207860

DOI: 10.22004/ag.econ.207860

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