Show simple item record

dc.contributor.advisorRuiz-Vargas, Yolanda
dc.contributor.authorPadilla-Padilla, Fernando M.
dc.description.abstractThis 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.
dc.description.abstractEsta investigación examina el impacto empírico que tiene la política monetaria de Estados Unidos, mediante la tasa de interés “fed fund”, en la volatilidad del precio del crudo en el mercado de futuros. Investigaciones previas han mostrado como los eventos y variables macroeconómicas han tenido impacto en mercados financieros, causando movimientos a corto y largo plazo. Luego de realizar las pruebas y las descomposiciones, ambas series de tiempo fueron analizadas utilizando el modelo “Vector Autoregressive” (VAR). La evidencia empírica presenta, con un nivel estadísticamente significativo, una relación directa cuando se explican los precios del crudo en función de las tasas “fed fund” (t-1) y una relación indirecta cuando se explican los precios del crudo en función de las tasas “fed fund” (t-2). Estos resultados aportan parcialmente a las lagunas en la revisión de literatura sobre las implicaciones existentes entre la política monetaria en el mercado de futuros del crudo.
dc.subjectMonetary policyen_US
dc.subjectCrude oilen_US
dc.subject.lcshPetroleum products--Pricesen_US
dc.subject.lcshFutures marketen_US
dc.subject.lcshMonetary policyen_US
dc.titleThe impact of United States monetary policy in the crude oil futures marketen_US
dc.rights.licenseAll rights reserveden_US
dc.rights.holder(c) 2010 Fernando M. Padilla-Padillaen_US
dc.contributor.committeeGordillo, Luis F.
dc.contributor.committeeOrtiz Rodríguez, Rosario A.
dc.contributor.representativeIrizarry Mora, Edwin
dc.contributor.collegeCollege of Business Administrationen_US
dc.contributor.departmentDepartment of Business Administrationen_US

Files in this item


This item appears in the following Collection(s)

  • Theses & Dissertations
    Items included under this collection are theses, dissertations, and project reports submitted as a requirement for completing a graduate degree at UPR-Mayagüez.

Show simple item record

All rights reserved
Except where otherwise noted, this item's license is described as All Rights Reserved