EconPapers    
Economics at your fingertips  
 

Communication Matters: U.S. Monetary Policy and Commodity Price Volatility

Bernd Hayo, Ali Kutan () and Matthias Neuenkirch ()

No 201105, MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility of commodities for the period 1998–2009. We find, first, that U.S. monetary policy events have an economically significant impact on price volatility. Second, expected target rate changes and communications decrease volatility, whereas target rate surprises and unorthodox monetary policy measures increase it. Third, we find a change in reaction to central bank communication during the recent financial crisis: the “calming” effect of communication found for the whole sample is partly offset during that period.

Keywords: Central Bank Communication; Commodities; Federal Reserve Bank; Monetary Policy; Price Volatility (search for similar items in EconPapers)
JEL-codes: E52 E58 G14 Q10 Q40 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Forthcoming in

Downloads: (external link)
http://www.uni-marburg.de/fb02/makro/forschung/magkspapers/05-2011_hayo.pdf First version, 2011 (application/pdf)

Related works:
Journal Article: Communication matters: US monetary policy and commodity price volatility (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:201105

Access Statistics for this paper

More papers in MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) Contact information at EDIRC.
Bibliographic data for series maintained by Bernd Hayo (). This e-mail address is bad, please contact .

 
Page updated 2019-04-19
Handle: RePEc:mar:magkse:201105