The Effect of Monetary Policy on Real Commodity Prices

By Jeffrey A. Frankel. 2006

524 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3020e6186627e78c5f44277778bbf5a0b2ef6e27

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In Economics and Econometrics

Citations in the corpus

Commodity-price comovement and global economic activity (2020, unknown): “The variables in the oil-market VAR include the percent change in global crude oil production, the global real activity index constructed in Kilian (2009), the log of the real price of oil, and a proxy for the change in global above-ground crude oil inventories.”
Effects of speculation and interest rates in a “carry trade” model of commodity prices (2013, unknown): “Market participants who observe the real price of the commodity today lying either above or below its perceived long-run equilibrium value, expect it to return back to equilibrium in the future over time, at an annual rate that is proportionate to the gap: (2) For present purposes, it may be enough ”
Do High-Frequency Financial Data Help Forecast Oil Prices? The Midas Touch at Work (2015, methodology): “…has been boosted by studies suggesting that low real interest rates lead to high real commodity prices (see, e.g., Barsky and Kilian 2002; Frankel 2008).10 We investigate this proposition by fitting a MIDAS model for the difference between the interest rate on the last day of the current…”
Reflections on the Global Food Crisis: how did it happen? how has it hurt? and how can we prevent the next one? (2010, background): “Frankel (2006) provides econometric evidence in support of the inverse relationship between commodity prices and real interest rates in the United States dating back to the 1950s, and Frankel argues that more recent data points—before and after the commodity price peak in mid-2008—are consistent wit”
Oil Prices, Exchange Rates and Interest Rates (2019, methodology): “Following Frankel (2008), we use the nominal U.S. one year treasury rate, adjusted for inflation over the preceding years as a proxy for expected inflation.7 Throughout the paper, trade- 5 For a review of merits of this approach and a comparison with alternative approaches to modeling the global…”
The Economics of Grain Price Volatility (2011, background): “One early rationalization of the price increases seen recently, emphasized by Frankel (2007), is that they are generated by low interest rates.”
Commodity Prices, Interest Rates and the Dollar (2009, background): “It has been long argued by Frankel that commodity prices tend to overshoot in response to interest rates changes, as exchange rates do in Dornbusch (1976)’s model; see Frankel (1986) and Frankel (2006).”
Commodity Prices, Convenience Yields, and Inflation (2013, methodology): “This suggests that some of the increases in 2007 and 2008 appear to be driven by interest rate and exchange rate changes, as Hamilton (2008) and Frankel (2006, 2008) suggested.”
Food Price Surges: Possible Causes, Past Experience, and Longer Term Relevance (2008, background): “Resort to commodities as “store of value” and investment portfolio diversification in times of low interest rates and financial turbulence like the one the world is currently experiencing is a common theme in the literature on commodity prices (e.g., Frankel 2006, 2008).”
Commodity Booms and Busts (2011, background): “Their empirical results reject the hypothesis advanced by Frankel (1995, 2008a) that money market linkages are the principal explanation for booms or busts in commodity prices.15 In the context of commodity futures markets, Rausser & Walraven (1990) investigated the implications of different…”