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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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