Monetary Factors in the Long-Run Co-movement of Consumer and Commodity Prices
AbstractThis paper estimates a structural VAR model of U.S. consumer and world commodity prices. An equiproportional long-run response of nominal price levels to amonetary shock yields identifying restrictions. Exogenous innovations to monetary policy account for a sizable share of the co-movement of these series, including during episodes more commonly attributed to “supply shocks.”
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Bibliographic InfoPaper provided by Wesleyan University, Department of Economics in its series Wesleyan Economics Working Papers with number 2004-001.
Length: 17 pages
Date of creation: Mar 2004
Date of revision:
Commodity price determination; vector autoregression; long-run restrictions; co-integration; monetary shocks;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E49 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Other
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