How Oil Shocks Propagate: Evidence on the Monetary Policy Channel

Wataru Miyamoto, Thuy Lan Nguyen and Dmitriy Sergeyev

No 18755, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: Using high-frequency responses of oil futures prices to prominent oil market news, we estimate the effects of oil supply news shocks when systematic monetary policy is switched off by the zero lower bound (ZLB) and when it is not (normal periods) in Japan, the United Kingdom, and the United States. We find that negative oil supply news shocks are less contractionary (and even expansionary) at the ZLB compared to normal periods. Inflation expectations increase during both periods, while the short nominal interest rates remain constant at the ZLB, pointing to the importance of monetary policy for oil shock propagation.

Keywords: Oil; price; shocks (search for similar items in EconPapers)
JEL-codes: E5 E7 G4 (search for similar items in EconPapers)
Date: 2024-01
References: Add references at CitEc
Citations:

Downloads: (external link)
https://cepr.org/publications/DP18755 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

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:cpr:ceprdp:18755

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP18755

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().