Oil price fluctuations, US banks, and macroprudential policy

• 成果类型: Article
• 署名作者: Gelain, Paolo; Lorusso, Marco
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Cleveland; University of Perugia; Newcastle University - UK
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2025.103848
• 发表日期: 2025
• 关键词: monetary-policy; supply shocks; ECONOMY; energy; macroeconomy; COMPETITION; increases; responses; finance; demand

摘要

Using US micro-level data on banks, we document a negative effect of high oil prices on US banks' balance sheets, more negative for highly leveraged banks. We set and estimate a general equilibrium model with banking and oil sectors that rationalizes those findings through the financial accelerator mechanism. This mechanism amplifies the effect of oil price shocks, making them non-negligible drivers of the dynamics of US banks' intermediation activity and of the US real economy. Macroprudential policy, in the form of a countercyclical capital buffer, can meaningfully address oil price fluctuations and reduce the volatility they cause in the US economy.