The Impact of the Fed's Interest Rate Adjustment Cycle on the Price of WTI Crude Oil Futures
DOI:
https://doi.org/10.54097/hbem.v18i.12666Keywords:
WTI crude oil futures price; Federal Reserve interest rate hike; TVP-VAR model; impulse response.Abstract
This article is based on monthly data from January 2016 to January 2022, including the US Federal Funds Rate and WTI crude oil futures price index. A TVP-VAR model is constructed to study the impact of the Federal Reserve's interest rate cycles on WTI crude oil futures prices. The research found a positive correlation between crude oil futures prices and the Federal Reserve's interest rate cycles. That means that when the Federal Reserve raises or lowers the US Federal Funds Rate, it leads to an increase or decrease in crude oil futures prices. Therefore, it is believed that in the current context of global quantitative easing and the sustained rise in international crude oil prices, China should formulate a new energy strategy that matches the high-quality development of the social economy and accelerate the transformation and upgrading of the crude oil industry.
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