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The impact of monetary policy shocks on commodity prices

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Listed author(s):
  • Anzuini, Alessio
  • Lombardi, Marco J.
  • Pagano, Patrizio

Abstract

Global monetary conditions have often been cited as a driving factor 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 drove up the broad commodity price index and all of its components. While these effects are significant, they however do not appear to be overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock. JEL Classification: E31, E40, C32

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Paper provided by European Central Bank in its series Working Paper Series with number 1232.

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Date of creation: Aug 2010
Handle: RePEc:ecb:ecbwps:20101232
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Keywords: monetary policy shock; Oil Price; 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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