Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2011 - This version: March 4, 2011
Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility of commodities for the period 1998-2009. We find, first, that U.S. monetary policy events have an economically significant impact on price volatility. Second, expected target...
