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

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

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 c...

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Veröffentlicht in:MAGKS - Joint Discussion Paper Series in Economics (Band 05-2011)
Autoren: Hayo, Bernd, Kutan, Ali M., Neuenkirch, Matthias
Format: Arbeit
Sprache:Englisch
Veröffentlicht: Philipps-Universität Marburg 2011
Schlagworte:
Wirtschaft
Monetary Policy
Price Volatility
Central Bank Communication
Commodities
Federal Reserve Bank
Economics
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Zusammenfassung: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.
Umfang:10 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0071

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