ECB monetary policy and commodity prices

Arbeitspapier

We analyze the impact of the ECB monetary policies on global aggregate and sectoral commodity prices using monthly data from January 2001 till August 2019. We employ a SVAR model and assess separately period of conventional monetary policy before global financial crisis (GFC) and unconventional monetary policy during post-crisis period. Our key results indicate that contractionary monetary policy shocks have positive effects on the aggregate and sectoral commodity prices during both conventional and unconvetional monetary policy periods. The effect is statistically significant for aggregate commodity prices during post-crisis period. In terms of sectoral impact, the effect is statistically significant for food prices in both periods and for fuel prices during post-crisis period; other commodities display positive but statistically insignificant responses. Further, we demonstrate that the impact of the ECB monetary policy on commodity prices increased remarkably after the GFC. Our results also suggest that the effect of the ECB monetary policy on commodity prices does not transmit directly through market demand and supply expectations channel, but rather through the exchange rate channel that influences the European market demand directly.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IES Working Paper ; No. 08/2020

Classification and Topics

• Classification: Wirtschaft ; Quantitative Policy Modeling ; Interest Rates: Determination, Term Structure, and Effects ; Central Banks and Their Policies ; Foreign Exchange ; International Financial Markets ; Commodity Markets
• Subject: European Central Bank ; commodity prices ; short-term interest rates ; unconventional monetary policy ; Structural Vector Autoregressive model ; exchange rates

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Aliyev, Shahriyar ; Koécenda, Evézen
• Event: Veröffentlichung
• (who): Charles University in Prague, Institute of Economic Studies (IES)
• (where): Prague
• (when): 2020

Further information

• Handle: http://hdl.handle.net/10419/228089