IDEAS home Printed from https://ideas.repec.org/a/ids/ijepee/v11y2018i1-2p159-168.html
   My bibliography  Save this article

The response of oil market to US monetary policy surprises

Author

Listed:
  • Tarek Chebbi

Abstract

The impact of monetary policy surprises from the USA on volatility of oil returns are examined over a period of instability from January 5, 2004 through December 31, 2008. Following Kuttner (2001), I use the change in the one-day current-month futures rate at a given date to measure monetary policy news. Using EGARCH model, my results suggest that these shocks are an important driver of the oil market. I find that the volatility reacts in a statistically significant and economically relevant fashion to surprise changes in the target rate. The estimated effect on the volatility is positive. Moreover, I show that the daily changes in federal funds futures rates don't have any role in the dynamics of oil volatility during the sample period. Finally, I also show that all model parameters to be highly significant with higher volatility persistence.

Suggested Citation

  • Tarek Chebbi, 2018. "The response of oil market to US monetary policy surprises," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 11(1/2), pages 159-168.
    • Handle: RePEc:ids:ijepee:v:11:y:2018:i:1/2:p:159-168
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=91043
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Marfatia, Hardik A. & Gupta, Rangan & Cakan, Esin, 2021. "Dynamic impact of the U.S. monetary policy on oil market returns and volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 159-169.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijepee:v:11:y:2018:i:1/2:p:159-168. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=219 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.