The impact of monetary policy shocks on commodity prices

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 1232

Classification and Topics

• Classification: 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
• Subject: monetary policy shock ; Oil Price ; VAR ; Geldpolitik ; Schock ; Rohstoffpreis ; Ölpreis ; VAR-Modell ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Anzuini, Alessio ; Lombardi, Marco J. ; Pagano, Patrizio
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/153666
• Last update: 10.03.2025, 11:43 AM CET