This paper investigates the transmission of U.S. monetary policy shocks to oil market dynamics, focusing on oil price uncertainty and tail risks. Using a structural VAR model, we reveal that tight monetary policy induces a sustained increase in oil market uncertainty while reducing left-tail risk, as hedgers exhibit diminished concern over extreme downside risks. In contrast, the impact on right-tail risk is statistically insignificant. Moreover, the effects of monetary policy shocks are asymmetric: while contractionary policies raise oil uncertainty and expansionary policies reduce it, tight monetary policies exert a stronger influence on left-tail risk, with pronounced disparities in the response of right-tail risk between tightening and loosening policies.

中文翻译：

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货币政策和石油波动性傻笑

本文研究了美国货币政策冲击对石油市场动态的传导，重点关注油价不确定性和尾部风险。使用结构性 VAR 模型，我们揭示了紧缩的货币政策会导致石油市场不确定性持续增加，同时降低左尾风险，因为对冲者对极端下行风险的担忧有所减少。相比之下，对右尾风险的影响在统计学上是微不足道的。此外，货币政策冲击的影响是不对称的：虽然紧缩政策提高了石油的不确定性，扩张性政策降低了石油的不确定性，但紧缩货币政策对左尾风险的影响更大，紧缩和放松政策对右尾风险的反应存在明显差异。