Granger predictability of real oil prices by us money and inflation in Markov-switching regimes

Basit Öğe Kaydı
dc.authoridGillman, Max/0000-0002-5536-4608
dc.contributor.authorCevik, Emrah I.
dc.contributor.authorDibooglu, Sel
dc.contributor.authorGillman, Max
dc.contributor.authorBenk, Szilard
dc.date.accessioned2025-04-06T12:23:54Z
dc.date.available2025-04-06T12:23:54Z
dc.date.issued2025
dc.departmentTekirdağ Namık Kemal Üniversitesi
dc.description.abstractThis paper presents new evidence that US money supply growth and inflation rates Granger predict real oil prices in a two-regime Markov switching vector autoregression (MS-VAR) model. An asset pricing theory motivates the empirical work by showing how jumps in real oil prices approximately follow jumps in the discount factor to keep constant the competitive return to oil capital. Using monthly data from January 1978 to June 2024, we consider alternative data combinations of US money supply growth rates, US inflation rates, and real oil prices to establish volatility regimes through goodness of fit testing. We set baseline model as that model with the highest likelihood in explaining the real oil price, which combines M2, the CPI less energy prices (CPIE), and real oil prices. Robustness considers two M2 variants combined with the CPIE that have the next highest likelihoods, for two alternative models. In the high volatility regime, results show robust Granger predictability of real oil prices by the baseline M2 and the M2 variants. In the low volatility regime for the baseline model, the CPIE inflation rate Granger predicts real oil prices. The paper contributes these new MS-VAR results that combined with the theory provide nuanced non-conventional support that monetary factors contribute to heightened real oil price episodes in volatile times as well as in calmer periods.
dc.description.sponsorshipCorvinus University of Budapest; University of Missouri Hayek chair endowment; Czech Science Foundation [22-35423 S]; Corvinus University CIAS research grant
dc.description.sponsorshipOpen access funding provided by Corvinus University of Budapest. Gillman gratefully acknowledges support from the University of Missouri Hayek chair endowment, the Czech Science Foundation grant project 22-35423 S, and a Corvinus University CIAS research grant.
dc.identifier.doi10.1007/s40822-024-00305-8
dc.identifier.endpage52
dc.identifier.issn1309-422X
dc.identifier.issn2147-429X
dc.identifier.issue1
dc.identifier.scopus2-s2.0-85217246082
dc.identifier.scopusqualityQ1
dc.identifier.startpage29
dc.identifier.urihttps://doi.org/10.1007/s40822-024-00305-8
dc.identifier.urihttps://hdl.handle.net/20.500.11776/17245
dc.identifier.volume15
dc.identifier.wosWOS:001405515800001
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherSpringer Heidelberg
dc.relation.ispartofEurasian Economic Review
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_WOS_20250406
dc.subjectUS inflation and money supply
dc.subjectreal oil prices
dc.subjectVolatility regimes
dc.subjectPresent value
dc.subjectGranger-predictability
dc.subjectImpulse responses
dc.subjectE31
dc.subjectE52
dc.subjectF31
dc.subjectG10
dc.subjectQ41
dc.titleGranger predictability of real oil prices by us money and inflation in Markov-switching regimes
dc.typeArticle

Dosyalar

Koleksiyon

WoS İndeksli Yayınlar Koleksiyonu
Scopus İndeksli Yayınlar Koleksiyonu