The Impact of Monetary Policy Shocks on Commodity Prices

35 Pages Posted: 29 Mar 2012  

Alessio Anzuini

Bank of Italy

Marco J. Lombardi

Bank for International Settlements (BIS) - Monetary and Economic Department

Patrizio Pagano

Bank of Italy

Multiple version iconThere are 3 versions of this paper

Date Written: February 23, 2012

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.

Keywords: monetary policy shock, oil prices, VAR

JEL Classification: E31, E40, C32

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

Alessio Anzuini

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Marco Jacopo Lombardi

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland
+41612809492 (Phone)

Patrizio Pagano (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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