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

Authors: Filis, G. and Chatziantoniou, I.

http://eprints.bournemouth.ac.uk/21274/

Journal: Review of Quantitative Finance and Accounting

Volume: 42

Issue: 4

Pages: 709-729

eISSN: 1573-7179

ISSN: 0924-865X

DOI: 10.1007/s11156-013-0359-7

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. © 2013 Springer Science+Business Media New York.

Authors: Filis, G. and Chatziantoniou, I.

http://eprints.bournemouth.ac.uk/21274/

Journal: Review of Quantitative Finance and Accounting

Pages: 1-21

eISSN: 1573-7179

ISSN: 0924-865X

DOI: 10.1007/s11156-013-0359-7

This source preferred by George Filis

This data was imported from Scopus:

Authors: Filis, G. and Chatziantoniou, I.

http://eprints.bournemouth.ac.uk/21274/

Journal: Review of Quantitative Finance and Accounting

Volume: 42

Issue: 4

Pages: 709-729

eISSN: 1573-7179

ISSN: 0924-865X

DOI: 10.1007/s11156-013-0359-7

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. © 2013 Springer Science+Business Media New York.

This source preferred by George Filis

This data was imported from Scopus:

Authors: Filis, G. and Chatziantoniou, I.

http://eprints.bournemouth.ac.uk/21274/

Journal: Review of Quantitative Finance and Accounting

Pages: 1-21

eISSN: 1573-7179

ISSN: 0924-865X

DOI: 10.1007/s11156-013-0359-7

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. © 2013 Springer Science+Business Media New York.

The data on this page was last updated at 04:43 on November 23, 2017.