Oil price shock in the US and the euro area – evidence from the shadow rate and the term premium

Oil price shock in the US and the euro area – evidence from the shadow rate and the term premium

The aim of this article is to investigate the consequences of oil price changes for the economy of the US and the euro area. Oil price transmission channel is assessed using Granger causalities and structural vector autoregressive (VAR) specifications (applying the Cholesky factorization and the res...

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Bibliographic Details
Main Author: Pažický Martin
Format: Article
Language:English
Published: Sciendo 2021-09-01
Series:Review of Economic Perspectives
Subjects:
oil price
unconventional monetary policy
var
shadow rate
term premium
b23
e42
e52
e58
q43
Online Access:https://doi.org/10.2478/revecp-2021-0014

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