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The Impact of the fed monetary policy shocks on commodity markets: Evidence from time-varying local projections

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  • Cevik, Emrah I.
  • Gillman, Max

Abstract

We investigate the impact of US Federal Reserve unanticipated monetary policy shocks on real gold, silver and oil prices. We use the US monetary policy uncertainty shock of Bu et al. (2021), over a period with both conventional and unconventional Fed policy. Accounting for potential time variation in the transmission of shocks, a time-varying local projection model with stochastic volatility is employed. Results reveal that monetary policy shocks exert statistically significant effects on commodity prices, with marked differences before and after 2008, highlighting the importance of accounting for dynamic and evolving relationships in the monetary policy–commodity price nexus.

Suggested Citation

  • Cevik, Emrah I. & Gillman, Max, 2025. "The Impact of the fed monetary policy shocks on commodity markets: Evidence from time-varying local projections," Finance Research Letters, Elsevier, vol. 86(PE).
    • Handle: RePEc:eee:finlet:v:86:y:2025:i:pe:s1544612325020173
    DOI: 10.1016/j.frl.2025.108763
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    References listed on IDEAS

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