This paper examines the impact of European Central Bank (ECB) monetary policy decisions on oil prices and liquidity using an event study with intraday data. We analyse the period from January 1999 to December 2020, which includes the financial crisis that started in August 2007. Our results show a significant response for oil returns only during the financial crisis. Specifically, we find that Brent crude oil futures’ returns responded negatively to unexpected variations in the Italian risk premium as a measure of unconventional monetary policy actions – and positively to unexpected variations in short-term interest rates. That is, an unexpected increase in short-term interest rates and reductions in the Italian risk premium are taken as positive signals anticipating the end of the financial crisis. Moreover, as Brent is priced in US dollars, we have tested if the Brent response is due to the exchange rate response. We find that the null hypothesis of equal response from Brent and the exchange rate to ECB monetary policy announcements cannot be rejected. These are important results for monetary policy makers and financial agents.

本文使用日内数据的事件研究，研究了欧洲中央银行 (ECB) 货币政策决定对油价和流动性的影响。我们分析了从 1999 年 1 月到 2020 年 12 月的这段时间，其中包括始于 2007 年 8 月的金融危机。我们的结果表明，只有在金融危机期间，石油收益才会有显着的反应。具体而言，我们发现布伦特原油期货的回报对作为衡量非常规货币政策行动的意大利风险溢价的意外变化产生负面反应，而对短期利率的意外变化产生积极影响。也就是说，短期利率的意外上升和意大利风险溢价的下降被视为预期金融危机结束的积极信号。此外，由于布伦特原油以美元计价，我们已经测试了布伦特原油的反应是否是由汇率反应引起的。我们发现，不能拒绝布伦特原油和汇率对欧洲央行货币政策公告的响应相等的原假设。这些对于货币政策制定者和金融机构来说都是重要的结果。