{"title":"货币政策公告对油价的信息效应","authors":"Yang Yang , Jiqiang Zhang , Sanpan Chen","doi":"10.1016/j.jcomm.2022.100268","DOIUrl":null,"url":null,"abstract":"<div><p><span><span>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<span> 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 </span></span>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 </span>finance and expectation channels.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"30 ","pages":"Article 100268"},"PeriodicalIF":3.7000,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Information effects of monetary policy announcements on oil price\",\"authors\":\"Yang Yang , Jiqiang Zhang , Sanpan Chen\",\"doi\":\"10.1016/j.jcomm.2022.100268\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p><span><span>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<span> 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 </span></span>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 </span>finance and expectation channels.</p></div>\",\"PeriodicalId\":45111,\"journal\":{\"name\":\"Journal of Commodity Markets\",\"volume\":\"30 \",\"pages\":\"Article 100268\"},\"PeriodicalIF\":3.7000,\"publicationDate\":\"2023-06-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Commodity Markets\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2405851322000265\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Commodity Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2405851322000265","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
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.
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