The Impact of Monetary Policy Shocks on Commodity Prices

International Journal of Central Banking, Forthcoming

35 Pages Posted: 20 Jun 2013

See all articles by Alessio Anzuini

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 01, 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, commodity prices, VAR

JEL Classification: E31, E40, C32

Suggested Citation

Anzuini, Alessio and Lombardi, Marco Jacopo and Pagano, Patrizio, The Impact of Monetary Policy Shocks on Commodity Prices (February 01, 2012). International Journal of Central Banking, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2281801

Alessio Anzuini

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Marco Jacopo Lombardi (Contact Author)

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

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

Patrizio Pagano

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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