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The impact of monetary policy shocks on commodity prices

Author Info

Listed author(s):
  • Alessio Anzuini

    ()

    (Bank of Italy)

  • Marco J. Lombardi

    ()

    (European Central Bank)

  • Patrizio Pagano

    ()

    (Bank of Italy)

Abstract

Global monetary conditions are often cited as a driver of commodity prices. This paper investigates the empirical relationship between US monetary policy and commodity prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The results suggest that expansionary US 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. This finding is confirmed under different identification strategies for the monetary policy shock.

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File URL: http://www.bancaditalia.it/pubblicazioni/temi-discussione/2012/2012-0851/en_tema_851.pdf
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Paper provided by Bank of Italy, Economic Research and International Relations Area in its series Temi di discussione (Economic working papers) with number 851.

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Date of creation: Feb 2012
Handle: RePEc:bdi:wptemi:td_851_12
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Keywords: monetary policy shock; oil prices; VAR;

Other versions of this item:

Find related papers by JEL classification:
  • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
  • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
  • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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