Arbeitspapier
Communication matters: US monetary policy and commodity price volatility
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 rate changes and communications decrease volatility, whereas target rate surprises and unorthodox monetary policy measures increase it. Third, we find a change in reaction to central bank communication during the recent financial crisis: the 'calming' effect of communication found for the whole sample is partly offset during that period.
- Sprache
-
Englisch
- Erschienen in
-
Series: MAGKS Joint Discussion Paper Series in Economics ; No. 05-2011
- Klassifikation
-
Wirtschaft
Monetary Policy
Central Banks and Their Policies
Information and Market Efficiency; Event Studies; Insider Trading
Agriculture: General
Energy: General
- Thema
-
central bank communication
commodities
Federal Reserve Bank
monetary policy
price volatility
Geldpolitik
Staatliche Information
Ankündigungseffekt
Rohstoffpreis
Volatilität
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hayo, Bernd
Kutan, Ali M.
Neuenkirch, Matthias
- Ereignis
-
Veröffentlichung
- (wer)
-
Philipps-University Marburg, Faculty of Business Administration and Economics
- (wo)
-
Marburg
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 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.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hayo, Bernd
- Kutan, Ali M.
- Neuenkirch, Matthias
- Philipps-University Marburg, Faculty of Business Administration and Economics
Entstanden
- 2011
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