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Monetary policy and oil price expectations

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  • Dirk Bleich
  • Ralf Fendel
  • Jan-Christoph Rülke

Abstract

This article provides robust estimates that the Bank of Canada, Bank of England, Federal Reserve Bank and the European Central Bank (ECB) respond to a 1% increase in oil price expectations with an increase in the interest rate of on average about 11 basis points. To correctly assess the information set of a central bank we use private sector forecasts and disentangle oil price expectations from inflation expectations. We also find asymmetries in the central bank's behaviour and report that those central banks do not respond to the realized oil price.

Suggested Citation

  • Dirk Bleich & Ralf Fendel & Jan-Christoph Rülke, 2012. "Monetary policy and oil price expectations," Applied Economics Letters, Taylor & Francis Journals, vol. 19(10), pages 969-973, July.
    • Handle: RePEc:taf:apeclt:v:19:y:2012:i:10:p:969-973
    DOI: 10.1080/13504851.2011.608640
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    Cited by:

    1. Pasrun Adam, 2016. "The Response of Bank of Indonesia s Interest Rates to the Prices of World Crude Oil and Foreign Interest Rates," International Journal of Energy Economics and Policy, Econjournals, vol. 6(2), pages 266-272.
    2. KARGI, Bilal, 2014. "The Effects of Oil Prices On Inflation and Growth: Time Series Analysis In Turkish Economy For 1988:01-2013:04 Period," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 5(2), pages 29-36.
    3. Dirk Bleich & Ralf Fendel & Jan-Christoph Rülke, 2013. "Monetary Policy and Stock Market Volatility," Economics Bulletin, AccessEcon, vol. 33(3), pages 1669-1680.
    4. Syafrida Hani & Elizar Sinambela, 2021. "Indonesia s Bank Response of Interest Rates to the Prices of World Crude Oil and Foreign Rates of Interest," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 558-564.

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