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,...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.] :
International Monetary Fund,
[2019]
|
| Schriftenreihe: | IMF working paper ;
WP/19/237. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (19 pages) |
| ISBN: | 1513519735 9781513519739 |
Internformat
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| spelling | Benk, Szilárd, author. Granger predictability of oil prices after the great recession / by Szilard Benk, Max Gillman. [Washington, D.C.] : International Monetary Fund, [2019] ©2019 1 online resource (19 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF Working Paper ; WP/19/237 Print version record. 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. Petroleum industry and trade Forecasting. Pétrole Industrie et commerce Prévision. Petroleum industry and trade Forecasting fast Gillman, Max, author. International Monetary Fund, issuing body. http://id.loc.gov/authorities/names/n81052755 has work: Granger predictability of oil prices after the great recession (Text) https://id.oclc.org/worldcat/entity/E39PCGgxJ8kWDTtvfCckwCWGXm https://id.oclc.org/worldcat/ontology/hasWork Print version: Benk, Szilard. Granger Predictability of Oil Prices after the Great Recession. Washington, D.C. : International Monetary Fund, ©2019 9781513518626 IMF working paper ; WP/19/237. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=2326526 Volltext |
| spellingShingle | Benk, Szilárd Gillman, Max Granger predictability of oil prices after the great recession / IMF working paper ; Petroleum industry and trade Forecasting. Pétrole Industrie et commerce Prévision. Petroleum industry and trade Forecasting fast |
| title | Granger predictability of oil prices after the great recession / |
| title_auth | Granger predictability of oil prices after the great recession / |
| title_exact_search | Granger predictability of oil prices after the great recession / |
| title_full | Granger predictability of oil prices after the great recession / by Szilard Benk, Max Gillman. |
| title_fullStr | Granger predictability of oil prices after the great recession / by Szilard Benk, Max Gillman. |
| title_full_unstemmed | Granger predictability of oil prices after the great recession / by Szilard Benk, Max Gillman. |
| title_short | Granger predictability of oil prices after the great recession / |
| title_sort | granger predictability of oil prices after the great recession |
| topic | Petroleum industry and trade Forecasting. Pétrole Industrie et commerce Prévision. Petroleum industry and trade Forecasting fast |
| topic_facet | Petroleum industry and trade Forecasting. Pétrole Industrie et commerce Prévision. Petroleum industry and trade Forecasting |
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