Communication Matters: U.S. Monetary Policy and Commodity Price Volatility
Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility of commodities for the period 1998–2009. We find, first, that U.S. monetary policy events have an economically significant impact on price volatility. Second, expected target rate changes and communications decrease volatility, whereas target rate surprises and unorthodox monetary policy measures increase it. Third, we find a change in reaction to central bank communication during the recent financial crisis: the “calming” effect of communication found for the whole sample is partly offset during that period.
|Date of creation:||2011|
|Date of revision:|
|Publication status:||Forthcoming in|
|Contact details of provider:|| Postal: Universitätsstraße 25, 35037 Marburg|
Web page: http://www.uni-marburg.de/fb02/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Robert Barsky & Lutz Kilian, 2004.
"Oil and the Macroeconomy Since the 1970s,"
NBER Working Papers
10855, National Bureau of Economic Research, Inc.
- Frankel, Jeffrey A & Hardouvelis, Gikas A, 1985. "Commodity Prices, Money Surprises and Fed Credibility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(4), pages 425-38, November.
- Ben S. Bernanke & Mark Gertler & Mark Watson, 1997.
"Systematic Monetary Policy and the Effects of Oil Price Shocks,"
Brookings Papers on Economic Activity,
Economic Studies Program, The Brookings Institution, vol. 28(1), pages 91-157.
- Bernanke, Ben S. & Gertler, Mark & Waston, Mark, 1997. "Systematic Monetary Policy and the Effects of Oil Price Shocks," Working Papers 97-25, C.V. Starr Center for Applied Economics, New York University.
- Bernd Hayo & Ali M. Kutan & Matthias Neuenkirch, 2008. "Financial Market Reaction to Federal Reserve Communications: Does the Crisis Make a Difference?," MAGKS Papers on Economics 200808, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
When requesting a correction, please mention this item's handle: RePEc:mar:magkse:201105. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bernd Hayo)
If references are entirely missing, you can add them using this form.