The response of Brent crude oil to the European central bank monetary policy
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The response of Brent crude oil to the European central bank monetary policy

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The response of Brent crude oil to the European central bank monetary policy

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dc.contributor.author Soriano Felipe, Pilar
dc.contributor.author Torró Enguix, Hipòlit
dc.date.accessioned 2022-03-29T10:55:22Z
dc.date.available 2022-03-30T04:45:05Z
dc.date.issued 2021 es_ES
dc.identifier.uri https://hdl.handle.net/10550/82075
dc.description.abstract Este artículo examina el impacto de las decisiones de política monetaria del Banco Central Europeo (BCE) sobre los precios del petróleo y la liquidez mediante un estudio de eventos con datos intradía. Analizamos el período de enero de 1999 a diciembre de 2020, que incluye la crisis financiera que comenzó en agosto de 2007. Nuestros resultados muestran una respuesta significativa de los rendimientos del petróleo solo durante la crisis financiera. Específicamente, encontramos que los rendimientos de los futuros de petróleo crudo Brent respondieron negativamente a variaciones inesperadas en la prima de riesgo italiana como medida de acciones de política monetaria no convencionales, y positivamente a variaciones inesperadas en las tasas de interés a corto plazo. Es decir, un aumento inesperado en las tasas de interés a corto plazo y reducciones en la prima de riesgo italiana se toman como señales positivas que anticipan el final de la crisis financiera. Además, dado que el precio del Brent se cotiza en dólares estadounidenses, hemos probado si la respuesta del Brent se debe a la respuesta del tipo de cambio. es_ES
dc.language.iso en es_ES
dc.rights Open Access en
dc.source Pilar Soriano, Hipòlit Torró, The response of Brent crude oil to the European central bank monetary policy, Finance Research Letters, 2021, 102353, ISSN 1544-6123, Elsevier. es_ES
dc.subject monetary policy es_ES
dc.subject brent crude oil futures es_ES
dc.subject european central bank es_ES
dc.title The response of Brent crude oil to the European central bank monetary policy es_ES
dc.type info:eu-repo/semantics/article es_ES
dc.subject.unesco UNESCO::CIENCIAS ECONÓMICAS es_ES
dc.identifier.doi https://doi.org/10.1016/j.frl.2021.102353 es_ES
dc.description.abstractenglish This paper examines the impact of European Central Bank (ECB) monetary policy decisions on oil prices and liquidity using an event study with intraday data. We analyse the period from January 1999 to December 2020, which includes the financial crisis that started in August 2007. Our results show a significant response for oil returns only during the financial crisis. Specifically, we find that Brent crude oil futures’ returns responded negatively to unexpected variations in the Italian risk premium as a measure of unconventional monetary policy actions – and positively to unexpected variations in short-term interest rates. That is, an unexpected increase in short-term interest rates and reductions in the Italian risk premium are taken as positive signals anticipating the end of the financial crisis. Moreover, as Brent is priced in US dollars, we have tested if the Brent response is due to the exchange rate response. We find that the null hypothesis of equal response from Brent and the exchange rate to ECB monetary policy announcements cannot be rejected. These are important results for monetary policy makers and financial agents. es_ES
dc.accrualMethod S es_ES
dc.embargo.terms 0 days es_ES

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