کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
985442 934526 2010 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Correlation structure between inflation and oil futures returns: An equilibrium approach
موضوعات مرتبط
مهندسی و علوم پایه علوم زمین و سیارات زمین شناسی اقتصادی
پیش نمایش صفحه اول مقاله
Correlation structure between inflation and oil futures returns: An equilibrium approach
چکیده انگلیسی

We use an equilibrium model of a monetary economy to understand the economics behind the correlation between inflation and oil futures returns. We find that some of the positive correlation found in empirical studies is due to the fact that oil is in the consumption basket; however, this accounts only for a minor part of it. There exist other important sources of correlation related to monetary shocks and output shocks. In particular, we find that the correlation is extremely sensitive to the reaction of the central bank to output shocks, while the reaction to inflation changes is less significant. We estimate our model using maximum likelihood with the following data sets: crude oil futures prices, nominal interest rates, inflation rates and money supply growth rates. Our estimates suggest that the monetary authority overreacts to output shocks by increasing the money supply in a more than necessary amount, generating a significant source of positive correlation. From a practical perspective, We find that it is a good strategy to use as a hedge, the futures whose maturity is closer to the hedging horizon. This is particularly true for short-term hedging.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Resources Policy - Volume 35, Issue 4, December 2010, Pages 301–310
نویسندگان
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