TY - JOUR
T1 - Financial and monetary policy responses to oil price shocks
T2 - evidence from oil-importing and oil-exporting countries
AU - Filis, George
AU - Chatziantoniou, Ioannis
N1 - This is an Accepted Manuscript of an article published in Review of Quantitative Finance and Accounting. The final publication is available at Springer via http://dx.doi.org/10.1007/s11156-013-0359-7
PY - 2014/5
Y1 - 2014/5
N2 - 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.
AB - 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.
KW - Structural oil price shocks
KW - monetary policy
KW - stock market returns
KW - SVAR
U2 - 10.1007/s11156-013-0359-7
DO - 10.1007/s11156-013-0359-7
M3 - Article
SN - 0924-865X
VL - 42
SP - 709
EP - 729
JO - Review of Quantitative Finance and Accounting
JF - Review of Quantitative Finance and Accounting
IS - 4
ER -