The different impacts of Fed's pure monetary policy and information shocks on crude oil's price

This paper investigates the different responses of crude oil's prices to two components of Fed's monetary policy surprises: purged monetary policy (PMP) and central bank information (CBI) shocks. The results show that the effect of a tightening PMP shock is insignificant contemporaneously but turns into negative after a few months, while a positive CBI shock tend to rise the prices of crude oil quickly after the happening of the shock. Our results echo the findings of recent studies on the “information effects” of Fed's monetary policy, and provide more insights to the debate on the feedback effect of monetary policy to prices of commodity including energy at monthly horizon.