This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Monetary Factors in the Long-Run Co-movement of Consumer and Commodity Prices

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Michael S. Hanson () (Economics Department, Wesleyan University)

Additional information is available for the following registered author(s):

Abstract

This 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.”

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://repec.wesleyan.edu/pdf/mshanson/2004001_hanson.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Wesleyan University, Department of Economics in its series Wesleyan Economics Working Papers with number 2004-001.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 17 pages
Date of creation: Mar 2004
Date of revision:
Handle: RePEc:wes:weswpa:2004-001

Contact details of provider:
Postal: PAC 123, 238 Church Street, Middletown, CT 06459-0007
Phone: (860)685-2340
Fax: (860)685-2781
Web page: http://www.wesleyan.edu/econ/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Francisco Rodríguez).

Related research
Keywords: 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
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
E49 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Other

Statistics
Access and download statistics

Did you know? You too can volunteer for RePEc, for example by encouraging others to use our services.

This page was last updated on 2008-8-14.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.