September 2013 issue contents
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