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Granger Predictability of Oil Prices After the Great Recession
by Szilard Benk and Max Gillman

Series:Working Paper No. 19/237
ISBN 9781513518626
Code: #WPIEA2019237

Publication year: 2019

Cdn: $27.00; US: $25.00
Paperback
Language: English
18 pages
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Real oil prices surged from 2009 through 2014, comparable to the 1970’s oil shock period. Standard explanations based on monopoly markup fall short since inflation remained low after 2009. This paper contributes strong evidence of Granger (1969) predictability of nominal factors to oil prices, using one adjustment to monetary aggregates. This adjustment is the subtraction from the monetary aggregates of the 2008-2009 Federal Reserve borrowing of reserves from other Central Banks (Swaps), made after US reserves turned negative. This adjustment is key in that Granger predictability from standard monetary aggregates is found only with the Swaps subtracted.
Granger Predictability of Oil Prices After the Great Recession
Cdn: $27.00; US: $25.00
International Monetary Fund (IMF) BookID: 126230 Added: 2019.11.1