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Granger Predictability of Oil Prices After the Great Recession

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...

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Bibliographic Details
Main Author: Benk, Szilard
Other Authors: Gillman, Max
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2019
Series:IMF Working Papers
Subjects:
Price Indexes
Energy: Demand And Supply
Inflation
Oil Prices
Monetary Economics
Deflation
Monetary Policy, Central Banking, And The Supply Of Money And Credit: General
Consumer Price Indexes
Gold
Money
Metals And Metal Products
Cement
Money Supply
Glass
Price Level
Monetary Base
Ceramics
Macroeconomics
Prices
Money And Monetary Policy
Gold Prices
United States
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary: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
Physical Description:18 pages
ISBN:9781513518626

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