Communication Matters: U.S. Monetary Policy and Commodity Price Volatility

MAGKS Joint Discussion Paper Series in Economics No. 05-2011

10 Pages Posted: 6 Mar 2011

See all articles by Bernd Hayo

Bernd Hayo

University of Marburg - School of Business & Economics

Ali M. Kutan

Southern Illinois University at Edwardsville

Matthias Neuenkirch

University of Trier - Faculty of Economics; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: March 4, 2011

Abstract

Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility of commodities for the period 1998–2009. We find, first, that U.S. monetary policy events have an economically significant impact on price volatility. Second, expected target rate changes and communications decrease volatility, whereas target rate surprises and unorthodox monetary policy measures increase it. Third, we find a change in reaction to central bank communication during the recent financial crisis: the “calming” effect of communication found for the whole sample is partly offset during that period.

Keywords: Central Bank Communication, Commodities, Federal Reserve Bank, Monetary Policy, Price Volatility

JEL Classification: E52, E58, G14, Q10, Q40

Suggested Citation

Hayo, Bernd and Kutan, Ali M. and Neuenkirch, Matthias, Communication Matters: U.S. Monetary Policy and Commodity Price Volatility (March 4, 2011). MAGKS Joint Discussion Paper Series in Economics No. 05-2011. Available at SSRN: https://ssrn.com/abstract=1776924 or http://dx.doi.org/10.2139/ssrn.1776924

Bernd Hayo (Contact Author)

University of Marburg - School of Business & Economics ( email )

Universitaetsstr. 24
Marburg, D-35032
Germany
++49(0)6421-28-23091 (Phone)
++49(0)6421-28-23193 (Fax)

Ali M. Kutan

Southern Illinois University at Edwardsville ( email )

Department of Economics and Finance AH-3141
Edwardsville, IL 62026-1102
United States
618-650-3473 (Phone)
618-650-3047 (Fax)

HOME PAGE: http://https://ideas.repec.org/e/pku30.html

Matthias Neuenkirch

University of Trier - Faculty of Economics ( email )

Universitätsring 15
Trier, 54296
Germany
+49 - (0)651 - 201 - 2629 (Phone)

HOME PAGE: http://www.uni-trier.de/index.php?id=50130

CESifo (Center for Economic Studies and Ifo Institute) ( email )

Poschinger Str. 5
Munich, DE-81679
Germany

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
73
Abstract Views
756
rank
343,113
PlumX Metrics