Granger predictability of oil prices after the great recession

0518681 - NHÚ 2020 RIV CZ eng V - Výzkumná zpráva
Benk, S. - Gillman, Max
Granger predictability of oil prices after the great recession.
Prague: CERGE-EI, 2019. 18 s. CERGE-EI Working Paper Series, 650. ISSN 1211-3298
Institucionální podpora: RVO:67985998
Klíčová slova: oil price shocks * granger predictability * monetary base
Obor OECD: Applied Economics, Econometrics
https://www.cerge-ei.cz/pdf/wp/Wp650.pdf

Real oil prices surged from 2009 through 2014, comparable to the 1970ís oil shock period. Standard explanations based on monopoly markup fall short since ináation 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.
Trvalý link: http://hdl.handle.net/11104/0303754