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The impact of monetary policy shocks on commodity prices

Marco Lombardi, Patrizio Pagano () and Alessio Anzuini

No 1232, Working Paper Series from European Central Bank

Abstract: Global monetary conditions have often been cited as a driving factor 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 drove up the broad commodity price index and all of its components. While these effects are significant, they however do not appear to be overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock. JEL Classification: E31, E40, C32

Keywords: monetary policy shock; Oil Price; VAR (search for similar items in EconPapers)
Date: 2010-08
New Economics Papers: this item is included in nep-cba, nep-ene, nep-mac and nep-mon
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Citations: View citations in EconPapers (59)

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Related works:
Journal Article: The Impact of Monetary Policy Shocks on Commodity Prices (2013) Downloads
Working Paper: The impact of monetary policy shocks on commodity prices (2012) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20101232

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