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ECB monetary policy and commodity prices

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  • Shahriyar Aliev
  • Evžen Kočenda

Abstract

We assess the impact of ECB monetary policy on global aggregate and sectoral commodity prices over 2001-2019. We employ a SVAR model and separately assess periods before and after the global financial crisis. Our key results indicate that contractionary monetary policy shocks have positive effects on commodity prices during both conventional and unconventional monetary policy periods, indicating the effectiveness of unconventional monetary policy tools. The largest impact is documented on fuel and food commodities. Our results also suggest that the effect of ECB monetary policy on commodity prices transmits through the exchange rate channel, which influences European market demand.

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  • Shahriyar Aliev & Evžen Kočenda, 2022. "ECB monetary policy and commodity prices," FFA Working Papers 4.008, Prague University of Economics and Business, revised 21 Jun 2022.
    • Handle: RePEc:prg:jnlwps:v:4:y:2022:id:4.008
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    More about this item

    Keywords

    European Central Bank; commodity prices; short-term interest rates; M2 stock; monetary aggregate; unconventional monetary policy; Structural Vector Autoregressive model; exchange rates;
    All these keywords.

    JEL classification:

    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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