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Patrizio Pagano - One of the best experts on this subject based on the ideXlab platform.
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the impact of monetary policy shocks on Commodity Prices
Social Science Research Network, 2012Co-Authors: Alessio Anzuini, M Lombardi, Patrizio PaganoAbstract:Global monetary conditions are often cited as a driver of Commodity Prices. This paper investigates the empirical relationship between US monetary policy and Commodity Prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The results suggest that expansionary US 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. This finding is confirmed under different identification strategies for the monetary policy shock.
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the impact of monetary policy shocks on Commodity Prices
Research Papers in Economics, 2010Co-Authors: Alessio Anzuini, M Lombardi, Patrizio PaganoAbstract:Global monetary conditions have often been cited as a driving factor of Commodity Prices. This paper investigates the empirical relationship between US monetary policy and Commodity Prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The results suggest that expansionary US monetary policy shocks drove up the broad Commodity price index and all of its components. While these effects are significant, they however do not appear to be overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock. JEL Classification: E31, E40, C32
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the impact of monetary policy shocks on Commodity Prices
International Journal of Central Banking, 2010Co-Authors: Alessio Anzuini, M Lombardi, Patrizio PaganoAbstract: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.
Alessio Anzuini - One of the best experts on this subject based on the ideXlab platform.
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the impact of monetary policy shocks on Commodity Prices
Social Science Research Network, 2012Co-Authors: Alessio Anzuini, M Lombardi, Patrizio PaganoAbstract:Global monetary conditions are often cited as a driver of Commodity Prices. This paper investigates the empirical relationship between US monetary policy and Commodity Prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The results suggest that expansionary US 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. This finding is confirmed under different identification strategies for the monetary policy shock.
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the impact of monetary policy shocks on Commodity Prices
Research Papers in Economics, 2010Co-Authors: Alessio Anzuini, M Lombardi, Patrizio PaganoAbstract:Global monetary conditions have often been cited as a driving factor of Commodity Prices. This paper investigates the empirical relationship between US monetary policy and Commodity Prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The results suggest that expansionary US monetary policy shocks drove up the broad Commodity price index and all of its components. While these effects are significant, they however do not appear to be overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock. JEL Classification: E31, E40, C32
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the impact of monetary policy shocks on Commodity Prices
International Journal of Central Banking, 2010Co-Authors: Alessio Anzuini, M Lombardi, Patrizio PaganoAbstract: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.
Paul Cashin - One of the best experts on this subject based on the ideXlab platform.
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the long run behavior of Commodity Prices small trends and big variability
IMF Staff Papers, 2002Co-Authors: Paul Cashin, John C McdermottAbstract:Using the longest dataset publicly available (The Economist's index of industrial Commodity Prices), we analyze the behavior of real Commodity Prices over the period 1862-1999 and have two main findings. First, while there has been a downward trend in real Commodity Prices of about 1 percent per year over the last 140 years, little support is found for a break in the long-run trend decline in Commodity Prices. Second, there is evidence of a ratcheting up in the variability of price movements. The amplitude of price movements increased in the early 1900s, while the frequency of large price movements increased after the collapse of the Bretton Woods regime of fixed exchange rates in the early 1970s. Although there is a down-ward trend in real Commodity Prices, this is of little practical policy relevance, since it is small and completely dominated by the variability of Prices.
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Booms and slumps in world Commodity Prices
Journal of Development Economics, 2002Co-Authors: Paul Cashin, C. John Mcdermott, Alasdair ScottAbstract:Abstract This paper examines the duration and magnitude of cycles in world Commodity Prices. Cycles are a dominant feature of Commodity Prices, and dealing with the economic consequences of booms and slumps in Prices continues to be one of the most challenging issues facing policymakers in Commodity-exporting developing countries. We find that there is an asymmetry in Commodity price cycles, as price slumps last longer than price booms. How far Prices fall in a slump is found to be slightly larger than how far they tend to rebound in a subsequent boom. In addition, for most commodities, the probability of an end to a slump (boom) in Prices is independent of the time already spent in the slump (boom).
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how persistent are shocks to world Commodity Prices
IMF Staff Papers, 2000Co-Authors: Paul Cashin, Hong Liang, John C McdermottAbstract:This paper examines the persistence of shocks to world Commodity Prices, using monthly IMF data on primary commodities between 1957-98. We find that shocks to Commodity Prices are typically long-lasting and the variability of the persistence of price shocks is quite wide. The paper also discusses the implications of these findings for national and international schemes to stabilize earnings from Commodity exports and finds that if price shocks are long-lived, then the cost of stabilization schemes will likely exceed any associated smoothing benefits.
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booms and slumps in world Commodity Prices
Research Papers in Economics, 1999Co-Authors: Christopher Mcdermott, Paul Cashin, Alasdair ScottAbstract:This paper examines the duration and magnitude of cycles in Commodity Prices. We find that for the majority of commodities, price slumps last longer than price booms. How far Prices fall in a slump is found to be slightly larger than how far they tend to rebound in a subsequent boom. We also find little evidence of a consistent `shape' to cycles in Commodity Prices. For all commodities, the probability of an end to a slump in Prices is independent of the time already spent in the slump, and for most commodities, the probability of an end to a boom in Prices is independent of the time already spent in the boom.
Jeffrey A. Frankel - One of the best experts on this subject based on the ideXlab platform.
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Determinants of Agricultural and Mineral Commodity Prices
2009Co-Authors: Jeffrey A. Frankel, Andrew K. RoseAbstract:Prices of most agricultural and mineral commodities rose strongly in the last decade, peaking sharply in 2008. Popular explanations included strong global growth (especially from China and India), easy monetary policy (as reflected in low real interest rates or expected inflation), a speculative bubble (resulting from bandwagon expectations), and risk (possibly resulting from geopolitical uncertainties). Motivated in part by this episode, this paper presents a theory that allows a role for macroeconomic determinants of real Commodity Prices, along the lines of the “overshooting ” model: the resulting model includes global GDP and the real interest rate as macroeconomic factors. Our model also includes microeconomic determinants; we include inventory levels, measures of uncertainty, and the spot-forward spread. We estimate the equation in a variety of different ways, for eleven individual commodities. Although two macroeconomic fundamentals-- global output and inflation-- both have positive effects on real Commodity Prices, the fundamentals that seem to have the most consistent and strongest effects are microeconomic variables: volatility, inventories, and the spot-forward spread. There is also evidence of
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the effect of monetary policy on real Commodity Prices
National Bureau of Economic Research, 2006Co-Authors: Jeffrey A. FrankelAbstract:Commodity Prices are back. This paper looks at connections between monetary policy, and agricultural and mineral commodities. We begin with the monetary influences on Commodity Prices, first for a large country such as the United States, then smaller countries. The claim is that low real interest rates lead to high real Commodity Prices. The theory is an analogy with Dornbusch overshooting. The relationship between real interest rates and real Commodity Prices is also supported empirically. One channel through which this effect is accomplished is a negative effect of interest rates on the desire to carry Commodity inventories. The paper concludes with a consideration of implications for monetary policy.
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Commodity Prices, Monetary Policy, and Currency Regimes
2006Co-Authors: Jeffrey A. FrankelAbstract:Commodity Prices are back. This paper looks at connections between monetary policy, and agricultural and mineral commodities. We begin with the monetary influences on Commodity Prices, first for a large country such as the United States, then smaller countries. The claim is that low real interest rates lead to high real Commodity Prices. The theory is an analogy with Dornbusch overshooting. The relationship between real interest rates and real Commodity Prices is also supported empirically. One channel through which this effect is accomplished is a negative effect of interest rates on the desire to carry Commodity inventories. The paper concludes with a consideration of the reverse causality: the possible influence of Commodity Prices on monetary policy, under alternative currency regimes. The new proposal for PEPI - Peg the Export Price Index - is compared (favorably) with - the popular regime of CPI targeting - by the criterion of robustness with respect to changes in the terms of trade such as oil price shocks.
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Commodity Prices and Monetary Policy
2006Co-Authors: Jeffrey A. FrankelAbstract:Commodity Prices are back. This paper looks at connections between monetary policy, and agricultural and mineral commodities. We begin with the monetary influences on Commodity Prices, first for a large country such as the United States, then smaller countries. The claim is that low real interest rates lead to high real Commodity Prices. The theory is an analogy with Dornbusch overshooting. The relationship between real interest rates and real Commodity Prices is also supported empirically. One channel through which this effect is accomplished is a negative effect of interest rates on the desire to carry Commodity inventories. The paper concludes with a consideration of two implications for monetary policy: (1) an argument for putting Commodity Prices on the list of monetary conditions indicators that central banks look at, and (2) an argument – relevant for countries that experience large terms of trade fluctuations – for emphasizing Commodity export Prices in the price index that enters any target, rather than using the CPI.
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The Effect of Monetary Policy on Real Commodity Prices
2006Co-Authors: Jeffrey A. FrankelAbstract:Commodity Prices are back. This paper looks at connections between monetary policy, and agricultural and mineral commodities. We begin with the monetary influences on Commodity Prices for a large country such as the United States. We then proceed to smaller countries. The claim is that low real interest rates lead to high real Commodity Prices. The theory is an analogy with Dornbusch overshooting. The relationship between real interest rates and real Commodity Prices is also supported empirically. One channel through which this effect is accomplished is a negative effect of interest rates on the desire to carry Commodity inventories. The paper concludes with a consideration of implications for monetary policy.
M Lombardi - One of the best experts on this subject based on the ideXlab platform.
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the impact of monetary policy shocks on Commodity Prices
Social Science Research Network, 2012Co-Authors: Alessio Anzuini, M Lombardi, Patrizio PaganoAbstract:Global monetary conditions are often cited as a driver of Commodity Prices. This paper investigates the empirical relationship between US monetary policy and Commodity Prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The results suggest that expansionary US 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. This finding is confirmed under different identification strategies for the monetary policy shock.
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the impact of monetary policy shocks on Commodity Prices
Research Papers in Economics, 2010Co-Authors: Alessio Anzuini, M Lombardi, Patrizio PaganoAbstract:Global monetary conditions have often been cited as a driving factor of Commodity Prices. This paper investigates the empirical relationship between US monetary policy and Commodity Prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The results suggest that expansionary US monetary policy shocks drove up the broad Commodity price index and all of its components. While these effects are significant, they however do not appear to be overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock. JEL Classification: E31, E40, C32
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the impact of monetary policy shocks on Commodity Prices
International Journal of Central Banking, 2010Co-Authors: Alessio Anzuini, M Lombardi, Patrizio PaganoAbstract: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.