Monetary Factors in the Long-Run Co-movement of Consumer and Commodity Prices

Michael Hanson

No 2004-001, Wesleyan Economics Working Papers from Wesleyan University, Department of Economics

Abstract: This paper estimates a structural VAR model of U.S. consumer and world commodity prices. An equiproportional long-run response of nominal price levels to amonetary shock yields identifying restrictions. Exogenous innovations to monetary policy account for a sizable share of the co-movement of these series, including during episodes more commonly attributed to “supply shocks.”

Keywords: Commodity price determination; vector autoregression; long-run restrictions; co-integration; monetary shocks (search for similar items in EconPapers)
JEL-codes: C32 E31 E49 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2004-03
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Persistent link: https://EconPapers.repec.org/RePEc:wes:weswpa:2004-001

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