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

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:	Wirtschaft Commodities Monetary Policy Price Volatility Federal Reserve Bank Central Bank Communication Economics
Online Access:	PDF Full Text
Tags:	Add Tag No Tags, Be the first to tag this record!