THE IMPACT OF MONETARY POLICY SURPRISES ON ENERGY PRICES

被引：45
|
作者：
Basistha, Arabinda [1 ]
Kurov, Alexander [2 ]
机构：
[1] W Virginia Univ, Dept Econ, Morgantown, WV 26506 USA
[2] W Virginia Univ, Dept Finance, Morgantown, WV 26506 USA
来源：
JOURNAL OF FUTURES MARKETS | 2015年 / 35卷 / 01期
关键词：
STOCK MARKETS REACTION; MACROECONOMIC NEWS; FUTURES DATA; OIL; HETEROSKEDASTICITY; IDENTIFICATION; DISCOVERY; RESPOND;
D O I：
10.1002/fut.21639
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines the effect of monetary policy surprises on energy prices at intraday, daily, and monthly frequencies. We measure monetary policy shocks using changes in interest rate futures prices that capture unexpected changes in the fed funds target rate. We find a significant response of energy prices to surprise changes in the fed funds target rate in an intraday window immediately following the monetary announcement. However, the accumulated responses of energy prices to monetary shocks over a period of several days after the announcement are statistically insignificant. We also use fed funds futures data to identify the contemporaneous impact of monetary policy shocks on oil prices in a monthly structural vector autoregressive (VAR) setup. We find no statistically significant effect of federal funds rate shocks on oil prices. The VAR estimates support the assumption of no contemporaneous feedback from monetary policy to energy prices. (c) 2013 Wiley Periodicals, Inc. Jrl Fut Mark 35:87-103, 2015
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页码：87 / 103
页数：17
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