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Monetary Policy Effects on Energy Sector Bubbles

Author

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  • Petre Caraiani

    (Institute for Economic Forecasting, Romanian Academy, 050711 Bucharest, Romania
    Faculty of Business Administration in Foreign Languages, Bucharest University of Economic Studies, 010374 Bucharest, Romania)

  • Adrian Cantemir Călin

    (Institute for Economic Forecasting, Romanian Academy, 050711 Bucharest, Romania
    Faculty of International Business and Economics, Bucharest University of Economic Studies, 010374 Bucharest, Romania)

Abstract

We investigate the effects of monetary policy shocks, including unconventional policy measures, on the bubbles of the energy sector, for the case of the United States. We estimate a time-varying Bayesian VAR model that allows for quantifying the impact of monetary policy shocks on asset prices and bubbles. The energy sector is measured through the S&P Energy Index, while bubbles are measured through the difference between asset prices and the corresponding dividends for the energy sector. We find significant differences in the impact of monetary policy shocks for the aggregate economy and for the energy sector. The findings seem sensitive to the interest rate use, i.e., whether one uses the shadow interest rate or the long-term interest rate.

Suggested Citation

  • Petre Caraiani & Adrian Cantemir Călin, 2019. "Monetary Policy Effects on Energy Sector Bubbles," Energies, MDPI, vol. 12(3), pages 1-13, February.
    • Handle: RePEc:gam:jeners:v:12:y:2019:i:3:p:472-:d:202741
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    References listed on IDEAS

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    1. Aslam, Faheem & Hunjra, Ahmed Imran & Memon, Bilal Ahmed & Zhang, Mingda, 2024. "Interplay of multifractal dynamics between shadow policy rates and energy markets," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    2. Radu Lupu & Adrian Cantemir Călin & Cristina Georgiana Zeldea & Iulia Lupu, 2021. "Systemic Risk Spillovers in the European Energy Sector," Energies, MDPI, vol. 14(19), pages 1-23, October.

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