Monetary policy and the oil futures market

Sandra Eickmeier and Marco Lombardi

No 35/2012, Discussion Papers from Deutsche Bundesbank

Abstract: We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial activity shocks both have a significant effect on the oil price. (ii) Monetary policy has made large positive contributions to oil price growth in 2008. (iii) Monetary policy affects the oil price primarily through fundamental (supply and demand) channels rather than through financial activity.

Keywords: oil prices; monetary policy; financial activity; VAR model; sign restrictions (search for similar items in EconPapers)
JEL-codes: C32 E52 Q31 Q41 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdps:352012

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