PREPRINT: Monetary effects on nominal oil prices

Max Gillman; Anton Nakov; Anton Nakov

doi:10.2139/SSRN.1517694

PREPRINT: Monetary effects on nominal oil prices

Max Gillman, Anton Nakov, Anton Nakov

Research output: Contribution to journal › Article › peer-review

Abstract

The paper presents a theory of nominal asset prices for competitively owned oil. Focusing on monetary e§ects, with áexible oil prices the US dollar oil price should follow the aggregate US price level. But with rigid nominal oil prices, the nominal oil price jumps proportionally to nominal interest rate increases. We Önd evidence for structural breaks in the nominal oil price that are used to illustrate the theory of oil price jumps. The evidence also indicates strong Granger causality of the oil price by US ináation as is consistent with the theory.

Original language	American English
Journal	Banco de Espana Working Paper No. 0928
DOIs	https://doi.org/10.2139/SSRN.1517694
State	Published - Dec 3 2009
Externally published	Yes

Keywords

Granger causality
cash-in-advance
ináation
multiple structural breaks
oil prices

Disciplines

Economics
Macroeconomics

Access to Document

10.2139/SSRN.1517694License: Unspecified

Cite this

@article{0be0d55cf3544251a11982aed2c14d40,

title = "PREPRINT: Monetary effects on nominal oil prices",

abstract = " The paper presents a theory of nominal asset prices for competitively owned oil. Focusing on monetary e§ects, with {\'a}exible oil prices the US dollar oil price should follow the aggregate US price level. But with rigid nominal oil prices, the nominal oil price jumps proportionally to nominal interest rate increases. We {\"O}nd evidence for structural breaks in the nominal oil price that are used to illustrate the theory of oil price jumps. The evidence also indicates strong Granger causality of the oil price by US in{\'a}ation as is consistent with the theory. ",

keywords = "Granger causality, cash-in-advance, in{\'a}ation, multiple structural breaks, oil prices",

author = "Max Gillman and Anton Nakov and Anton Nakov",

year = "2009",

month = dec,

day = "3",

doi = "10.2139/SSRN.1517694",

language = "American English",

journal = "Banco de Espana Working Paper No. 0928",

}

TY - JOUR

T1 - PREPRINT: Monetary effects on nominal oil prices

AU - Gillman, Max

AU - Nakov, Anton

PY - 2009/12/3

Y1 - 2009/12/3

N2 - The paper presents a theory of nominal asset prices for competitively owned oil. Focusing on monetary e§ects, with áexible oil prices the US dollar oil price should follow the aggregate US price level. But with rigid nominal oil prices, the nominal oil price jumps proportionally to nominal interest rate increases. We Önd evidence for structural breaks in the nominal oil price that are used to illustrate the theory of oil price jumps. The evidence also indicates strong Granger causality of the oil price by US ináation as is consistent with the theory.

AB - The paper presents a theory of nominal asset prices for competitively owned oil. Focusing on monetary e§ects, with áexible oil prices the US dollar oil price should follow the aggregate US price level. But with rigid nominal oil prices, the nominal oil price jumps proportionally to nominal interest rate increases. We Önd evidence for structural breaks in the nominal oil price that are used to illustrate the theory of oil price jumps. The evidence also indicates strong Granger causality of the oil price by US ináation as is consistent with the theory.

KW - Granger causality

KW - cash-in-advance

KW - ináation

KW - multiple structural breaks

KW - oil prices

U2 - 10.2139/SSRN.1517694

DO - 10.2139/SSRN.1517694

M3 - Article

JO - Banco de Espana Working Paper No. 0928

JF - Banco de Espana Working Paper No. 0928

ER -