The Response of European Energy Prices to ECB Monetary Policy

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  • Hipòlit Torró University of Valencia


To our knowledge, this paper is the first to discuss the response of European energy commodity prices to unexpected monetary policy surprises from the European Central Bank (ECB). Using the Rigobon (2003) identification through heteroscedasticity method, we find a significant and positive response during the crisis period for Brent and coal. Similar results are obtained by other authors for European financial assets in this period. This result reinforces the idea that during this period, financial assets and some commodities positively responded to conventional and unconventional expansionary monetary policy measures, increasing confidence about the survival of the European monetary union. The remaining European energy commodities (electricity, EUAs, and natural gas prices) seem to be unaffected by monetary policy actions. We think these results are of interest to those economic agents and institutions involved in European energy markets and are especially important for the European Central Bank in order to predict the consequences of its monetary policy on the inflation objective.Keywords: Monetary policy, European Central Bank, energy commoditiesJEL Classifications: C26, E58, G13, Q41DOI:


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Author Biography

Hipòlit Torró, University of Valencia

Hipolit Torro is currently a professor (TU) of Financial Economics at the Universitat de València, Spain, where he has held an appointment since 1991. He has a B.A. in Business Administration from the Universitat de València, a M.Sc. in Financial Mathematics from the Universities of Edinburgh and Heriot-Watt and a Ph.D. in Financial Economics from the Universitat de València. He has published a number of referred articles in finance academic journals and he has contributed to several books and conference proceedings. He has participated as a Principal Researcher or Researcher in grants funded by the Generalitat Valenciana (2), Fundación Caja de Madrid, the Instituto Valenciano de Investigaciones Económicas (5) and the Spanish Government (8). His current areas of interest are Energy Derivatives, Energy Markets, Asset Pricing and Risk Portfolio Management.SIGNIFICANT PUBLICATIONSEnergy Policiy (2018), Energy Economics (2015 & 2012), Journal of Banking and Finance (2013), International Review of Economics and Finance (2011 & In press), Journal of Risk (2011), European Journal of Finance (2011), Quantitative Finance (2009), The Journal of Futures Markets (2008 & 2003), Journal of Business Finance and Accounting (2007), Investigaciones Económicas (2007),...




How to Cite

Torró, H. (2019). The Response of European Energy Prices to ECB Monetary Policy. International Journal of Energy Economics and Policy, 9(2), 1–9. Retrieved from