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Faculty Selected Works of Max Gillman
Article
Granger Predictability of Oil prices after the Great Recession
IMF Working Paper (2019)
  • Szilard Benk, International Monetary Fund
  • Max Gillman, University of Missouri-St. Louis
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Abstract
Real oil prices surged from 2009 through 2014, comparable to the 1970’s oil shock period.
Standard explanations based on monopoly markup fall short since inflation remained low
after 2009. This paper contributes strong evidence of Granger (1969) predictability of
nominal factors to oil prices, using one adjustment to monetary aggregates. This adjustment
is the subtraction from the monetary aggregates of the 2008-2009 Federal Reserve borrowing
of reserves from other Central Banks (Swaps), made after US reserves turned negative. This
adjustment is key in that Granger predictability from standard monetary aggregates is found
only with the Swaps subtracted.

JEL Classification Numbers: Q43, E510, E520
Keywords
  • Oil Price Shocks,
  • Granger Predictability,
  • Monetary Base,
  • M1 Divisia,
  • Swaps,
  • Inflation
Disciplines
Publication Date
November, 2019
Citation Information
Szilard Benk and Max Gillman. "Granger Predictability of Oil prices after the Great Recession" IMF Working Paper Iss. WP/19/237 (2019) ISSN: 1018-5941
Available at: http://works.bepress.com/max-gillman/50/