Project Details
Description
This Project aims to investigate the impact of monetary policy announcements on the oil markets returns and volatility. In particular, we will measure the response of oil returns and risk to the surprises in monetary policy. Unlike the related literature which focuses mainly on the announcement of the Federal Open Market Committee Meetings (i.e., FOMC) of the US Federal Reserve, we consider in this Project the announcement of other two major central banks: the European Central Bank and the Bank of England. In addition, the policy impact will be studied using intraday data that enables the measurement of the impact due to monetary policy shocks exclusively and independently of other news impact. The influence of surprises will be computed 5 and 10 minutes right after the announcement. The impact of policy on the oil market will be measured with respect to two monetary policy surprises: The first is the surprise change to the target rate and the second is the surprise change to the future path of the policy. The inference will be derived from a conditional return and volatility models that captures the seasonal features of oil intraday returns and volatility. The Project will shed lights on how the oil market responds to the unanticipated shocks of the monetary policy of three global central banks. This is crucial and it informs energy market producers, investors and policy makers in assessing the impact of monetary policy on the stability of the oil market.
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Status | Finished |
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Effective start/end date | 1/07/21 → 31/12/22 |
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