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The Impact of Monetary Policy Shocks on Commodity Prices


Alessio Anzuini


Bank of Italy

Marco J. Lombardi


European Central Bank (ECB)

Patrizio Pagano


Bank of Italy
February 23, 2012

Bank of Italy Temi di Discussione Working Paper No. 851

Abstract:     
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.

Number of Pages in PDF File: 35

Keywords: monetary policy shock, oil prices, VAR

JEL Classification: E31, E40, C32

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Date posted: March 29, 2012  

Suggested Citation

Anzuini, Alessio, Lombardi, Marco J. and Pagano, Patrizio, The Impact of Monetary Policy Shocks on Commodity Prices (February 23, 2012). Bank of Italy Temi di Discussione Working Paper No. 851. Available at SSRN: http://ssrn.com/abstract=2030797 or http://dx.doi.org/10.2139/ssrn.2030797

Contact Information

Alessio Anzuini
Bank of Italy ( email )
Via Nazionale 91
Rome, 00184
Italy
Marco J. Lombardi
European Central Bank (ECB) ( email )
Kaiserstrasse 29
Frankfurt am Main, D-60311
Germany
Patrizio Pagano (Contact Author)
Bank of Italy ( email )
Via Nazionale 91
Rome, 00184
Italy
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