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Monetary policy and oil prices

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Hošek, Jan, Komárek, Luboš and Motl, Martin (2010) Monetary policy and oil prices. Working Paper. Coventry: University of Warwick. Dept. of Economics. Warwick economics research paper series (TWERPS), Vol.2010 (No.947).

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Abstract

This article discusses the relationship between monetary policy and oil prices and, in a broader sense, commodity prices. Firstly, it focuses on describing the relationship between key macroeconomic variables, gas prices and other commodity prices relative to oil prices. Subsequently, it discusses the existence of “transmission channels” through which monetary policy can be propagated to oil prices (or prices of commodities). It then provides an insight into the CNB’s forecasting process, both by looking retrospectively at the oil price outlook in the past and by analysing a transitory and a permanent shock (a rise in the oil price of USD 30/b). The simulated oil price shock is calculated from the average level of Brent oil prices in the first quarter of 2010, i.e. USD 77.50/b.

Item Type:

Working or Discussion Paper (Working Paper)

Subjects:

H Social Sciences > HC Economic History and Conditions
H Social Sciences > HG Finance
H Social Sciences > HD Industries. Land use. Labor

Divisions:

Faculty of Social Sciences > Economics

Library of Congress Subject Headings (LCSH):

Monetary policy, Petroleum products -- Prices -- Economic aspects, Interest rates, Czech Republic -- Economic conditions

Series Name:

Warwick economics research paper series (TWERPS)

Publisher:

University of Warwick. Dept. of Economics

Place of Publication:

Coventry

Official Date:

2010

Dates:

Date	Event
2010	Published

Volume:

Vol.2010

Number:

No.947

Status:

Not Peer Reviewed

Access rights to Published version:

Open Access

References:

ANDRLE, M.; HLÉDIK, T.; KAMENÍK, O.; VLČEK, J. 2009. Implementing the New Structural Model of the Czech National Bank, CNB WP 2/2009. Czech National Bank, September 2009.
BREITENFELLNER, A.; CUARESMA, J. C. 2008. Crude Oil Prices and the USD/EUR Exchange Rate, Monetary Policy & the Economy. Oesterreichische Nationalbank, Issue 4, pp. 102–121.
DORNBUSCH, R. 1976. Expectations and Exchange Rate Dynamics, Journal of Political Economy 84, pp. 1161–1176.
FRAIT, J.; KOMÁREK, L. 2007. Monetary Policy and Asset Prices: What Role for Central Banks in New EU Member States? Prague Economic Papers. 2007/1.
FRANKEL, J. A. 2006. The Effect of Monetary Policy on Real Commodity Prices, NBER WP 12713, December 2006.
HAMILTON, J. D. 2009. Causes and Consequences of the Oil Shock of 2007–08, Brookings Papers on Economic Activity, Spring 2009.
POSEN, A. 2006. Why Central Banks Should Not Burst Bubbles, International Finance, 9(1), pp. 109–124.
RADEMAEKERS K.; SLINGENBERG A.; MORSY, S. 2008. Review and Analysis of EU Wholesale Energy Markets, European Commission, December 2008.
ROUBINI, N. 2006. Why Central Banks Should Burst Bubbles. International Finance, 9(1), pp. 87– 107.

URI:

http://wrap.warwick.ac.uk/id/eprint/3500

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