Dokument
Titel: | Communication Matters: U.S. Monetary Policy and Commodity Price Volatility |
Autor: | Hayo, Bernd |
Weitere Verfasser: | Kutan, Ali M.; Neuenkirch, Matthias |
Veröffentlicht: | 2011 |
URI: | https://archiv.ub.uni-marburg.de/es/2024/0071 |
URN: | urn:nbn:de:hebis:04-es2024-00710 |
DOI: | https://doi.org/10.17192/es2024.0071 |
ISSN: | 1867-3678 |
DDC: | 330 Wirtschaft |
Publikationsdatum: | 2024-01-02 |
Lizenz: | https://creativecommons.org/publicdomain/mark/1.0 |
Schlagwörter: |
---|
Monetary Policy, Price Volatility, Central Bank Communication, Commodities, Federal Reserve Bank |
Summary:
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.
![]() | Das Dokument ist im Internet frei zugänglich - Hinweise zu den Nutzungsrechten |