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Extraordinary Monetary Policy Effects on Commodity Prices

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  • AitbekAmatov,
  • Dorfman, Jeffrey H.

Abstract

In the aftermath of the Great Recession, commodity prices have stabilized; however, the reasons are debatable. This paper concentrates on finding the relationship between Federal Reserve monetary policy and other macroeconomic indicators to both a broad commodity price index and an agricultural commodity price index by employing a vector error correction model. Excessive liquidity and the recent long period of ultra-low interest rates appear to have played a statistically significant role in affecting prices in the commodities markets. The responses of commodity prices to monetary policy that we estimate generally conform to earlier findings, but the sensitivity of the responses appears different in the face of the unprecedented scope of recent Fed activism.

Suggested Citation

  • AitbekAmatov, & Dorfman, Jeffrey H., 2015. "Extraordinary Monetary Policy Effects on Commodity Prices," 2015 Conference, April 20-21, 2015, St. Louis, Missouri 285830, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:n13415:285830
    DOI: 10.22004/ag.econ.285830
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    References listed on IDEAS

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    4. Jeffrey H. Dorfman & William D. Lastrapes, 1996. "The Dynamic Responses of Crop and Livestock Prices to Money-Supply Shocks: A Bayesian Analysis Using Long-Run Identifying Restrictions," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(3), pages 530-541.
    5. Jeffrey A. Frankel, 1986. "Expectations and Commodity Price Dynamics: The Overshooting Model," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 68(2), pages 344-348.
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    Cited by:

    1. Tiberto, Bruno Pires, 2025. "How does central bank independence influence the relationship between inflation, income inequality and poverty?," Journal of International Money and Finance, Elsevier, vol. 159(C).

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