scholarly journals Oil Price Shocks, Systematic Monetary Policy and Economic Activity

2019 ◽  
Vol 58 (1) ◽  
pp. 65-81 ◽  
Author(s):  
Muhammad Zeshan ◽  
Wasim Shahid Malik ◽  
Muhammad Nasir
Keyword(s):  
Monetary Policy ◽  
Jel Classification ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Structural Vector Autoregression ◽  
Price Shocks ◽  
Output Loss ◽  
The Impact ◽  
Auto Regression ◽  
Structural Vector

This study quantifies the impact of oil price shocks and the subsequent monetary policy response on output for Pakistan. It employs a quarterly Structural Vector Auto-regression framework for the period 1993–2015. It first discovers that Hamilton’s (1996) Net Oil Price Increase indicator appropriately reveals most of the oil price shocks hitting Pakistan’s economy. We find that a contractionary monetary policy, resulting from the oil price shocks, contributes to significant output loss in Pakistan. After encountering the Lucas critique, the present study finds that around 42 percent of the output loss is due to the ensuing tight monetary policy. This suggests that the central bank of Pakistan can reduce the impact of oil price shocks by reducing its intervention in the market. JEL Classification: E1, E3, E5 Keywords: Oil Price Shocks, Monetary Policy, Structural Vector Autoregression

Monetary policy and the effect of the transfer of oil prices to inflation

2020 ◽  
pp. 41-50
Author(s):  
Ph. S. Kartaev ◽  
I. D. Medvedev
Keyword(s):  
Monetary Policy ◽  
Inflation Targeting ◽  
Dynamic Models ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Negative Effects ◽  
Price Shocks ◽  
Policy Regime ◽  
The Impact

The paper examines the impact of oil price shocks on inflation, as well as the impact of the choice of the monetary policy regime on the strength of this influence. We used dynamic models on panel data for the countries of the world for the period from 2000 to 2017. It is shown that mainly the impact of changes in oil prices on inflation is carried out through the channel of exchange rate. The paper demonstrates the influence of the transition to inflation targeting on the nature of the relationship between oil price shocks and inflation. This effect is asymmetrical: during periods of rising oil prices, inflation targeting reduces the effect of the transfer of oil prices, limiting negative effects of shock. During periods of decline in oil prices, this monetary policy regime, in contrast, contributes to a stronger transfer, helping to reduce inflation.

Demand, supply, monetary policy, and oil price shocks in the Russian economy (Analysis based on the BVAR model with sign restrictions)

2020 ◽  
pp. 83-104
Author(s):  
D. A. Lomonosov ◽  
A. V. Polbin ◽  
N. D. Fokin
Keyword(s):  
Monetary Policy ◽  
Positive Impact ◽  
Oil Price ◽  
Monetary Shocks ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Demand Shocks ◽  
Russian Economy ◽  
Sign Restrictions ◽  
The Impact

This paper considers a simple Bayesian vector autoregressive model for the Russian economy based on data for real GDP, GDP deflator and oil price as an exogenous variable that acts as a proxy variable for the terms of trade. Along with the impact of oil price shocks, the model estimates the impact of supply and demand shocks, the identification of which is based on the approach of sign restrictions. According to the results obtained, at the end of 2014 and in 2015, demand shocks had a positive impact on GDP growth, which can be interpreted as a positive effect of the ruble devaluation at the end of 2014. In the next years, demand shocks led mainly to a slowdown in economic growth. The paper also attempts to identify monetary policy shocks and assesses their impact on GDP, household consumption and investment. According to the results, the effect of monetary shocks in 2015—2019 on all endogenous variables was negative. However, an increase in the interest rate at the end of 2014 is identified mostly as an endogenous reaction to other shocks, and the effect of the monetary shock on GDP in 2015 is nearly zero. In 2017, monetary shocks slowed down GDP by 0.92 percentage points.

scholarly journals Monetary policy and the effect of the oil prices pass-through to inflation

2019 ◽  
Vol 5 (3) ◽  
pp. 211-219
Author(s):  
Philipp Kartaev ◽  
Ilya Medvedev
Keyword(s):  
Monetary Policy ◽  
Inflation Targeting ◽  
Dynamic Models ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Policy Regime ◽  
Pass Through ◽  
The Impact

The paper examines the impact of oil price shocks on inflation, as well as the impact of the choice of the monetary policy regime on the strength of this influence. We used dynamic models on panel data for the countries of the world for 2000–2017. It is shown that the impact of changes in oil prices on inflation is carried out predominantly through the channel of exchange rate. The paper demonstrates the influence of the transition to inflation targeting on the nature of the relationship between oil price shocks and inflation. This effect is asymmetrical: during periods of rising oil prices, inflation targeting reduces the effect of the oil prices pass-through, limiting the negative effects of shock. During periods of decline in oil prices, this monetary policy regime, in contrast, contributes to a stronger pass-through, helping to reduce inflation.

The Impact of Oil Price Shocks on Turkish Sovereign Yield Curve

2020 ◽  
Author(s):  
Oguzhan Cepni ◽  
Selcuk Gul ◽  
Brian M. Lucey ◽  
Muhammed Hasan Yilmaz
Keyword(s):  
Yield Curve ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
The Impact

scholarly journals The Impact of Oil Price Shocks on National Income: Evidence from Azerbaijan

Energies ◽  
2021 ◽  
Vol 14 (6) ◽  
pp. 1695
Author(s):  
Shahriyar Mukhtarov ◽  
Sugra Humbatova ◽  
Mubariz Mammadli ◽  
Natig Gadim‒Oglu Hajiyev
Keyword(s):  
Exchange Rate ◽  
Oil Price ◽  
Gdp Per Capita ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Total Trade ◽  
Trade Turnover ◽  
Per Capita ◽  
The Exchange Rate ◽  
The Impact

This study investigates the influence of oil price shocks on GDP per capita, exchange rate, and total trade turnover in Azerbaijan using the Structural Vector Autoregressive (SVAR) method to data collected from 1992 to 2019. The estimation results of the SVAR method conclude that oil price shocks (rise in oil prices) affect GDP per capita and total trade turnover positively, whereas its influence on the exchange rate is negative in the case of Azerbaijan. According to results of this study, Azerbaijan and similar oil-exporting countries should reduce the dependence of GDP per capita, the exchange rate, and total trade turnover from oil resources and its prices in the global market. Therefore, these countries should attempt to the diversification of GDP per capita, the exchange rate, and other sources of total trade turnover.

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