Original title:
Granger predictability of oil prices after the great recession
Authors:
Benk, S. ; Gillman, Max Document type: Research reports
Year:
2019
Language:
eng Series:
CERGE-EI Working Paper Series, volume: 650 Abstract:
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.
Keywords:
granger predictability; monetary base; oil price shocks