The Impact of Monetary Policy Shocks on Commodity Prices
Alessio Anzuini,a Marco J. Lombardi,b and Patrizio Paganoa
Global monetary conditions are often cited as a driver of
commodity prices. This paper investigates the empirical relationship
between U.S. monetary policy and commodity prices
by means of a standard VAR system, commonly used in analyzing
the effects of monetary policy shocks. The results suggest
that expansionary U.S. monetary policy shocks drive up the
broad commodity price index and all of its components. While
these effects are significant, they do not, however, appear to
be overwhelmingly large.
JEL Codes: E31, E40, C32.
Full article (PDF, 26 pages 1369 kb)
a Banca d’Italia
b Bank for International Settlements