Padilla-Padilla, Fernando M.

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The impact of United States monetary policy in the crude oil futures market
(2010) Padilla-Padilla, Fernando M.; Ruiz-Vargas, Yolanda; College of Business Administration; Gordillo, Luis F.; Ortiz Rodríguez, Rosario A.; Department of Business Administration; Irizarry Mora, Edwin
This research examines the empirical impact the United States monetary policy, through the federal fund interest rate, has on the volatility in the crude oil price in the futures market. Prior research has shown how macroeconomic events and variables have impacted different financial markets within short and long – term movements. After testing and decomposing the variables, the two stationary time series were analyzed using a Vector Autoregressive Model (VAR). The empirical evidence shows, with statistical significance, a direct relationship when explaining crude oil prices as function of fed fund rates (t-1) and an indirect relationship when explained as a function of fed fund rates (t-2). These results partially address the literature review lacunas within the topic of the existing implication monetary policy has within the crude oil futures market.