Arbeitspapier
The impact of monetary policy shocks on commodity prices
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1232
- Klassifikation
-
Wirtschaft
Price Level; Inflation; Deflation
Money and Interest Rates: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
monetary policy shock
Oil Price
VAR
Geldpolitik
Schock
Rohstoffpreis
Ölpreis
VAR-Modell
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Anzuini, Alessio
Lombardi, Marco J.
Pagano, Patrizio
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Anzuini, Alessio
- Lombardi, Marco J.
- Pagano, Patrizio
- European Central Bank (ECB)
Entstanden
- 2010