Monetary Factors in the Long-Run Co-movement of Consumer and Commodity Prices
This paper estimates a structural VAR model of U.S. consumer and world commodity prices. An equiproportional long-run response of nominal price levels to amonetary shock yields identifying restrictions. Exogenous innovations to monetary policy account for a sizable share of the co-movement of these series, including during episodes more commonly attributed to “supply shocks.”
|Date of creation:||Mar 2004|
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