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

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Anzuini, Alessio
  • Lombardi, Marco J.
  • Pagano, Patrizio
  • European Central Bank (ECB)

Entstanden

  • 2010

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