ECB monetary policy and commodity prices

被引：4

作者：

Aliyev, Shahriyar ^{[1
]}

Kocenda, Evzen ^{[1
,2
,3
]}

机构：

[1] Charles Univ Prague, Inst Econ Studies, Opletalova 26, Prague 11000 1, Czech Republic

[2] CESifo Munich, Munich, Germany

[3] IOS Regensburg, Regensburg, Germany

来源：

REVIEW OF INTERNATIONAL ECONOMICS | 2023年 / 31卷 / 01期

关键词：

commodity prices; European Central Bank; exchange rates; M2; stock; monetary aggregate; short-term interest rates; structural vector autoregressive model; unconventional monetary policy; EURO AREA; GLOBAL LIQUIDITY; EXCHANGE-RATES; IMPACT; SPILLOVER; INFERENCE; ANNOUNCEMENTS; EXPECTATIONS; RESPONSES; MODELS;

D O I：

10.1111/roie.12626

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We assess the impact of ECB monetary policy on global aggregate and sectoral commodity prices over 2001-2019. We employ an SVAR model and separately assess periods before and after the global financial crisis. Our key results indicate that contractionary monetary policy shocks have positive effects on commodity prices during both conventional and unconventional monetary policy periods, indicating the effectiveness of unconventional monetary policy tools. The largest impact is documented on energy (fuel) and food commodities. Our results also suggest that the effect of ECB monetary policy on commodity prices transmits through the exchange rate channel, which influences European market demand.

引用

页码：274 / 304

页数：31

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