Information content of commodity futures prices for monetary policy

被引：28
|
作者：
Bhar, Ramaprasad [2 ]
Hamori, Shigeyuki [1 ]
机构：
[1] Kobe Univ, FAc Econ, Nada Ku, Kobe, Hyogo 6578501, Japan
[2] Univ New S Wales, Sch Banking & Finance, Sydney, NSW 2052, Australia
来源：
ECONOMIC MODELLING | 2008年 / 25卷 / 02期
基金：
日本学术振兴会;
关键词：
information variable; commodity futures prices; CCF approach;
D O I：
10.1016/j.econmod.2007.06.006
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper empirically examines the information content of commodity futures prices for monetary policy. We use the cross correlation function approach to empirically analyze the relationship between commodity futures prices and economic activities (e.g., consumer prices and industrial production) between January 1957 and February 2005. Empirical results show that commodity prices can serve as information variables for monetary policy not only in mean, but also in variance. (C) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：274 / 283
页数：10
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