The impact of monetary policy shocks on commodity prices

Alessio Anzuini, Marco Lombardi and Patrizio Pagano ()

No 851, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

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.

Keywords: monetary policy shock; oil prices; VAR (search for similar items in EconPapers)
JEL-codes: C32 E31 E40 (search for similar items in EconPapers)
Date: 2012-02
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (56)

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Related works:
Journal Article: The Impact of Monetary Policy Shocks on Commodity Prices (2013)
Working Paper: The impact of monetary policy shocks on commodity prices (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_851_12

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