Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries

George Filis, Ioannis Chatziantoniou

    Research output: Contribution to journalArticlepeer-review

    302 Downloads (Pure)

    Abstract

    In this study, we investigate the financial and monetary policy responses to oil price shocks using a Structural VAR framework. We distinguish between net oil-importing and net oil-exporting countries. Since the 80s, a significant number of empirical studies have been published investigating the effect of oil prices on macroeconomic and financial variables. Most of these studies though, do not make a distinction between oil-importing and oil-exporting economies. Overall, our results indicate that the level of inflation in both net oil-exporting and net oil-importing countries is significantly affected by oil price innovations. Furthermore, we find that the response of interest rates to an oil price shock depends heavily on the monetary policy regime of each country. Finally, stock markets operating in net oil-importing countries exhibit a negative response to increased oil prices. The reverse is true for the stock market of the net oil-exporting countries. We find evidence that the magnitude of stock market responses to oil price shocks is higher for the newly established and/or less liquid stock markets.
    Original languageEnglish
    Pages (from-to)709-729
    JournalReview of Quantitative Finance and Accounting
    Volume42
    Issue number4
    Early online date9 Mar 2013
    DOIs
    Publication statusPublished - May 2014

    Keywords

    • Structural oil price shocks
    • monetary policy
    • stock market returns
    • SVAR

    Fingerprint

    Dive into the research topics of 'Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries'. Together they form a unique fingerprint.

    Cite this