Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/67718
Authors: 
Eickmeier, Sandra
Lombardi, Marco J.
Year of Publication: 
2012
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 35/2012
Abstract: 
We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial activity shocks both have a significant effect on the oil price. (ii) Monetary policy has made large positive contributions to oil price growth in 2008. (iii) Monetary policy affects the oil price primarily through fundamental (supply and demand) channels rather than through financial activity.
Subjects: 
oil prices
monetary policy
financial activity
VAR model
sign restrictions
JEL: 
E52
C32
Q41
Q31
ISBN: 
978-3-86558-874-6
Document Type: 
Working Paper

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