{"title":"The Impact of Monetary Policy Shocks on Commodity Prices","authors":"Alessio Anzuini, Marco J. Lombardi, P. Pagano","doi":"10.2139/ssrn.2030797","DOIUrl":null,"url":null,"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.","PeriodicalId":118088,"journal":{"name":"SRPN: International Affairs Issues (Topic)","volume":"79 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2010-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"322","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"SRPN: International Affairs Issues (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2030797","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 322
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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