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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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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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description	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.
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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
title	Monetary Policy Effects on Energy Sector Bubbles
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