ECB monetary policy and commodity prices

Shahriyar Aliev and Evžen Kočenda

No 4.008, FFA Working Papers from Prague University of Economics and Business

Abstract: We assess the impact of ECB monetary policy on global aggregate and sectoral commodity prices over 2001-2019. We employ a SVAR model and separately assess periods before and after the global financial crisis. Our key results indicate that contractionary monetary policy shocks have positive effects on commodity prices during both conventional and unconventional monetary policy periods, indicating the effectiveness of unconventional monetary policy tools. The largest impact is documented on fuel and food commodities. Our results also suggest that the effect of ECB monetary policy on commodity prices transmits through the exchange rate channel, which influences European market demand.

Keywords: European Central Bank; commodity prices; short-term interest rates; M2 stock; monetary aggregate; unconventional monetary policy; Structural Vector Autoregressive model; exchange rates (search for similar items in EconPapers)
JEL-codes: C54 E43 E58 F31 G15 Q02 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2022-06-21, Revised 2022-06-21
New Economics Papers: this item is included in nep-ban, nep-cba, nep-dem, nep-eec, nep-mac and nep-mon
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Related works:
Journal Article: ECB monetary policy and commodity prices (2023)
Working Paper: ECB Monetary Policy and Commodity Prices (2020)
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