The Impact of Monetary Policy Shocks on Commodity Prices
By Alessio Anzuini, Marco J. Lombardi, P. Pagano. Social Science Research Network, 2012
285 citations recorded by the source corpus.
Global monetary conditions are often cited as a driver of commodity prices. This paper investigates the empirical relationship between US monetary policy and commodity prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The results suggest that expansionary US monetary policy shocks drive up the broad commodity price index and all of its components. While these effects are significant, they do not, however, appear to be overwhelmingly large. This finding is confirmed under different identification strategies for the monetary policy shock.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/7549a6e4bc2f06431a44f65e14ba45af8f8da821
How researchers see this paper
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In Economics and Econometrics
- Bjarne Steffen
- F. Egli
- Ine Van Robays
- Marco J. Lombardi
- Ottmar Edenhofer
- Tobias S. Schmidt
- A. B. Rejeb
Citations in the corpus
- Do Financial Investors Destabilize the Oil Price? (2011, background): “So, if markets are e¢ cient and arbitrage opportunities are exploited instantaneously, Equation (2) would hold.”
- Adverse effects of rising interest rates on sustainable energy transitions (2019, background): “Theoretical analysis suggests that variations of the IR could have the following effects on commodity prices 30 – 35 : First, higher IRs could increase the supply of commodities since investors earn more interest with the revenues they receive from selling resources compared to leaving them in the…”
- What Drives Oil Prices? Emerging versus Developed Economies (2012, unknown): “Anzuini et al. (2013), who analyze the effect of expansionary US monetary policy shocks on commodity prices.”