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    The impact of unconventional monetary policy shocks on energy prices

    Makrychoriti, Panagiota and Moratis, G. and Spyrou, S. (2020) The impact of unconventional monetary policy shocks on energy prices. In: Goutte, S. and Khuong Nguyen, D. (eds.) Handbook of Energy Finance. World Scientific, pp. 743-764. ISBN 9789813278370.

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    Abstract

    We examine the effect of ECB’s unconventional monetary policy measures on energy prices. Our results indicate that the non-standard ECB monetary policies during the recent financial crises had a significant and negative impact on energy prices. For example, we find that these policies accounted for approximately 10% of the price variance for the Light Crude Oil Futures Contract. Impulse Response Functions suggest that an increase in the ECB’s propensity to unconventional policy decreases energy prices for all five energy price proxies during the first two months after the monetary shock. Since these policies have now become part of a central bank’s arsenal during financial turmoil and may be used in future crises, these results shed light on their potential impact energy prices.

    Metadata

    Item Type: Book Section
    School: School of Business, Economics & Informatics > Management
    Research Centres and Institutes: Accounting and Finance Research Centre
    Depositing User: Panagiota Makrychoriti
    Date Deposited: 13 Dec 2021 13:49
    Last Modified: 15 Dec 2021 07:35
    URI: https://eprints.bbk.ac.uk/id/eprint/46973

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