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  1. Granger predictability of oil prices after the Great Recession
    Author: Benk, Szilárd; Gillman, Max
    Published: 2019
    Publisher:  International Monetary Fund, [Washington, DC]

    Real oil prices surged from 2009 through 2014, comparable to the 1970's 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)... more

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Real oil prices surged from 2009 through 2014, comparable to the 1970's 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

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781513518626
    Other identifier:
    Series: IMF working paper ; WP/19, 237
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  2. Granger predictability of oil prices after the Great Recession
    Author: Benk, Szilárd; Gillman, Max
    Published: 2019
    Publisher:  International Monetary Fund, [Washington, DC]

    Real oil prices surged from 2009 through 2014, comparable to the 1970's 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)... more

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    Real oil prices surged from 2009 through 2014, comparable to the 1970's 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

     
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