Back to Search
Start Over
On the influence of US monetary policy on crude oil price volatility.
- Source :
- Empirical Economics; Feb2017, Vol. 52 Issue 1, p155-178, 24p
- Publication Year :
- 2017
-
Abstract
- The article discusses a study that investigated the monetary policy of the U.S. and the way it can influence the volatility of crude oil future price (COFP). Topics include using various Garch frameworks for computing forecast of oil spot prices and determine macroeconomic variables that can influence COFP volatility along with the U.S. Effective Fereal Fund Rate (EFFR) and U.S. Industrial Production (IndPro). Results indicated positive COFP volatility with expansionary U.S. monetary policy.
Details
- Language :
- English
- ISSN :
- 03777332
- Volume :
- 52
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Empirical Economics
- Publication Type :
- Academic Journal
- Accession number :
- 120928020
- Full Text :
- https://doi.org/10.1007/s00181-016-1069-5