Granger predictability of oil prices after the great recession

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F19%3A00518681" target="_blank" >RIV/67985998:_____/19:00518681 - isvavai.cz</a>
Result on the web
<a href="https://www.cerge-ei.cz/pdf/wp/Wp650.pdf" target="_blank" >https://www.cerge-ei.cz/pdf/wp/Wp650.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Granger predictability of oil prices after the great recession
Original language description
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.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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