货币政策公告对油价的信息效应

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE Journal of Commodity Markets Pub Date : 2023-06-01 DOI:10.1016/j.jcomm.2022.100268

Yang Yang , Jiqiang Zhang , Sanpan Chen

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引用次数: 0

摘要

如果央行掌握的信息与市场参与者不同，那么央行的公告不仅影响货币政策的观点，也影响经济基本面的观点。本研究使用符号限制识别的结构向量自回归（VAR）模型来研究货币政策公告对油价的信息效应。标志限制依赖于围绕政策公告的股价和利率之间的高频联系。我们发现，积极的央行信息冲击将利率提高了6个基点，导致油价在两个月内上涨1.7%。我们还发现，央行信息冲击通过金融和预期渠道影响油价。

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Information effects of monetary policy announcements on oil price

If the information held by the central bank is different from that of market participants, then the central bank’s announcement not only affects the view of monetary policy but also the view of economic fundamentals. This study investigates the information effects of monetary policy announcements on oil prices using a structural vector autoregression (VAR) model identified by sign restrictions. The sign restrictions rely on the high-frequency linkage between stock prices and interest rates surrounding the policy announcements. We find that a positive central bank information shock, which raises the interest rate by six basis points, leads to a 1.7% increase in oil prices within two months. We also find that central bank information shocks affect oil prices through the finance and expectation channels.

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.