Commodity Price Responses to Monetary Policy Surprises

@inproceedings{Scrimgeour2010CommodityPR,
  title={Commodity Price Responses to Monetary Policy Surprises},
  author={Dean Scrimgeour},
  year={2010}
}
Commodity prices are important both as a source of shocks and for the propagation of shocks originating elsewhere in the economy. Many vector autoregression (VAR) studies estimate a gradual response of commodity prices to monetary policy shocks. Exploiting information in high-frequency financial market data, and using the methods of Rigobon and Sack (2004) I find that a 10 basis point surprise change in interest rates causes commodity prices to fall immediately by about 0.5%. This is about two… CONTINUE READING

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