Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries

  • George FilisEmail author
  • Ioannis Chatziantoniou
Original Research


In this study, we investigate the financial and monetary policy responses to oil price shocks using a Structural VAR framework. We distinguish between net oil-importing and net oil-exporting countries. Since the 80s, a significant number of empirical studies have been published investigating the effect of oil prices on macroeconomic and financial variables. Most of these studies though, do not make a distinction between oil-importing and oil-exporting economies. Overall, our results indicate that the level of inflation in both net oil-exporting and net oil-importing countries is significantly affected by oil price innovations. Furthermore, we find that the response of interest rates to an oil price shock depends heavily on the monetary policy regime of each country. Finally, stock markets operating in net oil-importing countries exhibit a negative response to increased oil prices. The reverse is true for the stock market of the net oil-exporting countries. We find evidence that the magnitude of stock market responses to oil price shocks is higher for the newly established and/or less liquid stock markets.


Structural oil price shocks Monetary policy Stock market returns SVAR 


C32 E44 E52 G15 Q40 



The authors would like to thank the Editor, Professor Cheng-Few Lee, and the anonymous reviewers for their insightful comments and suggestions on a previous version of this paper. The usual disclaimer applies.


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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  1. 1.The Executive Business Centre, Department of Accounting, Finance and EconomicsBournemouth UniversityBournemouthUK
  2. 2.Department of Economics and Finance, Portsmouth Business SchoolUniversity of PortsmouthPortsmouthUK

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