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

Filis, G. and Chatziantoniou, I., 2014. Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries. Review of Quantitative Finance and Accounting, 42 (4), 709- 729.

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DOI: 10.1007/s11156-013-0359-7

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

Item Type:Article
ISSN:0924-865X
Uncontrolled Keywords:Structural oil price shocks Monetary policy Stock market returns
Subjects:UNSPECIFIED
Group:Business School
ID Code:21274
Deposited By: Unnamed user with email symplectic@symplectic
Deposited On:16 Jun 2014 13:51
Last Modified:01 Jun 2015 00:08

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