Communication matters: US monetary policy and commodity price volatility

被引：21
|
作者：
Hayo, Bernd [1 ]
Kutan, Ali M. [2 ,3 ]
Neuenkirch, Matthias [1 ]
机构：
[1] Univ Marburg, Fac Business Adm & Econ, D-35032 Marburg, Germany
[2] So Illinois Univ, Dept Econ & Finance, Edwardsville, IL 62026 USA
[3] Emerging Markets Grp, London, England
来源：
ECONOMICS LETTERS | 2012年 / 117卷 / 01期
关键词：
Central bank communication; Commodities; Federal Reserve; Monetary policy; Price volatility;
D O I：
10.1016/j.econlet.2012.05.018
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We analyze the influence of US monetary policy on commodity price volatility. Expected target rate changes and communications decrease volatility, whereas target rate surprises and unorthodox measures increase it. The "calming" effect of communication is reduced during the financial crisis. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：247 / 249
页数：3
相关论文
共 50 条
  • [31] Monetary policy and commodity futures
    Armesto, MI
    Gavin, WI
    FEDERAL RESERVE BANK OF ST LOUIS REVIEW, 2005, 87 (03): : 395 - 405
  • [32] Monetary policy, oil shocks, and TFP: Accounting for the decline in US volatility
    Leduc, Sylvain
    Sill, Keith
    REVIEW OF ECONOMIC DYNAMICS, 2007, 10 (04) : 595 - 614
  • [33] Dynamic impact of the US monetary policy on oil market returns and volatility*
    Marfatia, Hardik A.
    Gupta, Rangan
    Cakan, Esin
    QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2021, 80 : 159 - 169
  • [34] Components of Commodity Price Volatility: A Multiple Commodity Comparison.
    Karali, Berna
    Thurman, Walter N.
    JOURNAL OF AGRICULTURAL AND RESOURCE ECONOMICS, 2008, 33 (03) : 500 - 500
  • [35] Asset price volatility and monetary policy rules: A dynamic model and empirical evidence
    Semmler, Willi
    Zhang, Wenlang
    ECONOMIC MODELLING, 2007, 24 (03) : 411 - 430
  • [36] The housing price bubble, the monetary policy and the foreclosure crisis in the US
    McDonald, John F.
    Stokes, Houston H.
    APPLIED ECONOMICS LETTERS, 2013, 20 (11) : 1104 - 1108
  • [37] US monetary policy: The pushing hands of crude oil price?
    Cao, Fangzhi
    Su, Chi-Wei
    Sun, Dian
    Qin, Meng
    Umar, Muhammad
    ENERGY ECONOMICS, 2024, 134
  • [38] The clarity of monetary policy communication and financial market volatility in developing economies
    Vyshnevskyi, Iegor
    Jombo, Wytone
    Sohn, Wook
    EMERGING MARKETS REVIEW, 2024, 59
  • [39] Monetary policy and aggregate volatility
    Adam, Klaus
    JOURNAL OF MONETARY ECONOMICS, 2009, 56 : S1 - S18
  • [40] Trade policy announcements can increase price volatility in global food commodity markets
    Brander M.
    Bernauer T.
    Huss M.
    Nature Food, 2023, 4 (4): : 331 - 340
12345