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The impact of monetary policy shocks on commodity prices

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  • Alessio Anzuini

    ()
    (Bank of Italy)

  • Marco J. Lombardi

    ()
    (European Central Bank)

  • Patrizio Pagano

    ()
    (Bank of Italy)

Abstract

Global monetary conditions are often cited as a driver 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 drive up the broad commodity price index and all of its components. While these effects are significant, they do not, however, appear to be overwhelmingly large. This finding is confirmed under different identification strategies for the monetary policy shock.

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Bibliographic Info

Paper provided by Bank of Italy, Economic Research and International Relations Area in its series Temi di discussione (Economic working papers) with number 851.

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Date of creation: Feb 2012
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Handle: RePEc:bdi:wptemi:td_851_12

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Keywords: monetary policy shock; oil prices; VAR;

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