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Do Low Interest Rates Decrease Commodity Price Volatility?

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Abstract

Commodity prices have been volatile over the past decade relative to the 1990s. Over the same period interest rates have also been relatively low, suggesting a possible connection.

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  • Joseph W. Gruber & Robert J. Vigfusson, 2013. "Do Low Interest Rates Decrease Commodity Price Volatility?," IFDP Notes 2013-09-26, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgin:2013-09-26
    DOI: 10.17016/2573-2129.01
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    File URL: https://www.federalreserve.gov/econresdata/notes/ifdp-notes/2013/do-low-interest-rates-decrease-commodity-price-volatility-20130926.html
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    Cited by:

    1. Mo, Di & Gupta, Rakesh & Li, Bin & Singh, Tarlok, 2018. "The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets," Economic Modelling, Elsevier, vol. 70(C), pages 543-560.

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