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)
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)
Pages: 10 pages
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Journal Article: Communication matters: US monetary policy and commodity price volatility (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:201105
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