Oil price shocks in real time

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics Pub Date : 2024-05-01 DOI:10.1016/j.jmoneco.2023.12.005

Andrea Gazzani, Fabrizio Venditti, Giovanni Veronese

引用次数: 0

Abstract

Oil prices contain information on global shocks of key relevance for monetary policy decisions. We propose a novel approach to identify these shocks at the daily frequency in a Structural Vector Autoregression (SVAR). Our method is devised to be used in real time to interpret the developments in the oil market and their implications for the macroeconomy, circumventing the problem of publication lags that plagues monthly data used in workhorse SVAR models. It proves particularly valuable for monetary policymakers at times when macroeconomic conditions evolve rapidly, like during the COVID-19 pandemic or the invasion of Ukraine by Russia.

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实时石油价格冲击

石油价格包含与货币政策决策密切相关的全球冲击信息。我们提出了一种在结构向量自回归（SVAR）中以日频率识别这些冲击的新方法。我们所设计的方法可用于实时解读石油市场的发展及其对宏观经济的影响，从而避免了主要 SVAR 模型中使用的月度数据所存在的发布滞后问题。在宏观经济形势快速变化时，如 COVID-19 大流行或俄罗斯入侵乌克兰期间，该方法对货币政策制定者尤为重要。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Monetary Economics Multiple-

CiteScore

7.20

自引率

4.90%

发文量

审稿时长

74 days

期刊介绍： The profession has witnessed over the past twenty years a remarkable expansion of research activities bearing on problems in the broader field of monetary economics. The strong interest in monetary analysis has been increasingly matched in recent years by the growing attention to the working and structure of financial institutions. The role of various institutional arrangements, the consequences of specific changes in banking structure and the welfare aspects of structural policies have attracted an increasing interest in the profession. There has also been a growing attention to the operation of credit markets and to various aspects in the behavior of rates of return on assets. The Journal of Monetary Economics provides a specialized forum for the publication of this research.