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The Impact of Monetary Policy Shocks on Commodity Prices

  • A. Anzuini

    (Banca d’Italia)

  • M. J. Lombardi

    (Bank for International Settlements)

  • P. Pagano

    (Banca d’Italia)

Global monetary conditions are often cited as a driver of commodity prices. This paper investigates the empirical relationship between U.S. monetary policy and commodity prices by means of a standard VAR system, commonly used in analyzing the effects of monetary policy shocks. The results suggest that expansionary U.S. 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.

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Article provided by International Journal of Central Banking in its journal International Journal of Central Banking.

Volume (Year): 9 (2013)
Issue (Month): 3 (September)
Pages: 125-150

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Handle: RePEc:ijc:ijcjou:y:2013:q:3:a:4
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  1. Robert B. Barsky & Lutz Kilian, 2001. "Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative," NBER Working Papers 8389, National Bureau of Economic Research, Inc.
  2. Pagano, Patrizio & Pisani, Massimiliano, 2009. "Risk-adjusted forecasts of oil prices," Working Paper Series 0999, European Central Bank.
  3. Lutz Kilian & Logan T. Lewis, 2011. "Does the Fed Respond to Oil Price Shocks?," Economic Journal, Royal Economic Society, vol. 121(555), pages 1047-1072, 09.
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  10. Kim, Soyoung, 2001. "International transmission of U.S. monetary policy shocks: Evidence from VAR's," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 339-372, October.
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  12. repec:oup:restud:v:77:y:2010:i:2:p:665-696 is not listed on IDEAS
  13. Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2013. "The Fundamentals of Commodity Futures Returns," Review of Finance, European Finance Association, vol. 17(1), pages 35-105.
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  27. Robert B. Barsky & Lutz Kilian, 2004. "Oil and the Macroeconomy Since the 1970s," Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 115-134, Fall.
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  29. Michael D. Plante & Mine K. Yücel, 2011. "Did speculation drive oil prices? market fundamentals suggest otherwise," Economic Letter, Federal Reserve Bank of Dallas, vol. 6(oct).
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