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...

Full description

Saved in:
Bibliographic Details
Published in:MAGKS - Joint Discussion Paper Series in Economics (Band 05-2011)
Main Authors: Hayo, Bernd, Kutan, Ali M., Neuenkirch, Matthias
Format: Work
Language:English
Published: Philipps-Universität Marburg 2011
Subjects:
Online Access:PDF Full Text
Tags: Add Tag
No Tags, Be the first to tag this record!
MAGKS - Joint Discussion Paper Series in Economics