Monetary effects on oil and gold prices

Gillman, Max 2008. Monetary effects on oil and gold prices. [Working Paper]. Cardiff Economics Working Papers (E2008), vol. 15. Cardiff Business School. Available at: http://business.cardiff.ac.uk/sites/default/files/...

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Abstract

The paper presents a theory of nominal asset prices for competitively owned oil. Focusing on monetary effects, with flexible oil prices the US dollar oil price should follow the aggregate US price level. But with rigid nominal oil prices, the nominal oil price jumps proportionally to nominal interest rate increases. We find evidence for structural breaks in the nominal oil price that are used to illustrate the theory of oil price jumps. The evidence also indicates strong Granger causality of the oil price by US inflation as is consistent with the theory.

Item Type:	Monograph (Working Paper)
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory H Social Sciences > HF Commerce H Social Sciences > HG Finance J Political Science > JA Political science (General)
Uncontrolled Keywords:	Oil prices; inflation; cash-in-advance; multiple structural breaks; Granger causality.
Publisher:	Cardiff Business School
Related URLs:	Organisation
Date of First Compliant Deposit:	30 March 2016
Last Modified:	19 Mar 2016 22:52
URI:	https://orca.cardiff.ac.uk/id/eprint/29669

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