35 Pages Posted: 29 Mar 2012
Date Written: February 23, 2012
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.
Keywords: monetary policy shock, oil prices, VAR
JEL Classification: E31, E40, C32
Suggested Citation: Suggested Citation
Anzuini, Alessio and 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: https://ssrn.com/abstract=2030797 or http://dx.doi.org/10.2139/ssrn.2030797