Monetary policy shocks and the dynamics of agricultural commodity prices: evidence from structural and factorâ€ augmented VAR analyses
Md Rafayet Alam and
Agricultural Economics, 2017, vol. 48, issue 1, 15-27
Fluctuation in commodity prices is a significant and timely issue to be studied. This study is to examine the impact of monetary policy and other macroeconomic shocks on the dynamics of agricultural commodity prices. The major contributions of this study are twofold. First, unlike other studies that use indexes, this study analyzes the commodities individually, affording the inclusion of commodityâ€ specific fundamentals such as the level of inventoryâ€”an important determinant of commodity priceâ€”in a structural VAR framework. Second, it exploits a rich data set of agricultural commodity prices which includes commodities that are usually overlooked in the literature, and extracts a common factor using the dynamic factor model to understand the extent of comovement of the prices and to gauge the extent to which macroeconomic shocks drive the â€œcomovementâ€ in a factorâ€ augmented VAR (FAVAR) framework. The findings show that monetary policy, global economic conditions, and the U.S. dollar exchange rates play an important role in the dynamics of agricultural commodity prices.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:agecon:v:48:y:2017:i:1:p:15-27
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0169-5150
Access Statistics for this article
Agricultural Economics is currently edited by W.A. Masters and G.E. Shively
More articles in Agricultural Economics from International Association of Agricultural Economists Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().