How Oil Shocks Propagate: Evidence on the Monetary Policy Channel


Wataru Miyamoto, Thuy Lan Nguyen, Dmitriy Sergeyev

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2024-07 | March 8, 2024

Using high-frequency responses of oil futures prices to prominent oil market news, we estimate the effects of oil supply news shocks when systematic monetary policy is switched off by the zero lower bound (ZLB) and when it is not (normal periods) in Japan, the United Kingdom, and the United States. We find that negative oil supply news shocks are less contractionary (and even expansionary) at the ZLB compared to normal periods. Inflation expectations increase during both periods, while the short nominal interest rates remain constant at the ZLB, pointing to the importance of monetary policy for oil shock propagation.

Article Citation

Miyamoto, Wataru, Thuy Lan Nguyen, and Dmitriy Sergeyev. 2024. “How Oil Shocks Propagate: Evidence on the Monetary Policy Channel,” Federal Reserve Bank of San Francisco Working Paper 2024-07. Available at