The impact of monetary policy shocks on commodity prices

by Alessio Anzuini, Marco J. Lombardi and Patrizio Pagano

Global monetary conditions have often been cited as a driving factor of commodity prices. This paper investigates the empirical relationship between US monetary policy and commodity prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The results suggest that expansionary US monetary policy shocks drove up the broad commodity price index and all of its components. While these effects are significant, they however do not appear to be overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock. - Monetary policy Shock ; Oil Price ; VAR

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Year of publication:	2010
Authors:	Anzuini, Alessio ; Lombardi, Marco ; Pagano, Patrizio
Publisher:	Frankfurt am Main : European Central Bank
Subject:	Geldpolitik \| Monetary policy \| Schock \| Shock \| Rohstoffpreis \| Commodity price \| Ölpreis \| Oil price \| VAR-Modell \| VAR model \| USA \| United States

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Extent:	Online-Ressource, (27 S., 1,75 MB)
Series:	Working paper series / European Central Bank. - Frankfurt, M. : European Central Bank, ISSN 1725-2806, ZDB-ID 2123559-4. - Vol. 1232
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	hdl:10419/153666 [Handle]
Classification:	E31 - Price Level; Inflation; Deflation ; E40 - Money and Interest Rates. General ; C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003994006