Monetary Policy Effects on Energy Sector Bubbles

We investigate the effects of monetary policy shocks, including unconventional policy measures, on the bubbles of the energy sector, for the case of the United States. We estimate a time-varying Bayesian VAR model that allows for quantifying the impact of monetary policy shocks on asset prices and b...

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Bibliographic Details
Published in:Energies (Basel) 2019-02, Vol.12 (3), p.472
Main Authors: Caraiani, Petre, Călin, Adrian
Format: Article
Language:English
Subjects:
Asset pricing
Bubbles
Central banks
Commodities
Crude oil
Crude oil prices
Economic crisis
Economic models
Energy
Energy industry
Energy prices
energy sector
Inflation
Interest rates
Macroeconomics
Monetary policy
Natural gas prices
Phillips curve
Regression analysis
Stock exchanges
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Summary:We investigate the effects of monetary policy shocks, including unconventional policy measures, on the bubbles of the energy sector, for the case of the United States. We estimate a time-varying Bayesian VAR model that allows for quantifying the impact of monetary policy shocks on asset prices and bubbles. The energy sector is measured through the S&P Energy Index, while bubbles are measured through the difference between asset prices and the corresponding dividends for the energy sector. We find significant differences in the impact of monetary policy shocks for the aggregate economy and for the energy sector. The findings seem sensitive to the interest rate use, i.e., whether one uses the shadow interest rate or the long-term interest rate.
ISSN:1996-1073
1996-1073
DOI:10.3390/en12030472