Does Monetary Policy Respond to Commodity Price Shocks? - Archive ouverte HAL Accéder directement au contenu
Communication Dans Un Congrès Année : 2013

Does Monetary Policy Respond to Commodity Price Shocks?

Résumé

Commodity prices, especially oil prices, peaked in the aftermath of the financial crisis of 2007 and they have remained highly volatile. All things being equal, the increase in commodity prices may induce a similar tendency of inflation and hence become a monetary policy issue. However, the impact of the changes of commodity prices on inflation is not clear. In this paper, by using Markov-switching models we show that there is an implicit impact of commodity markets on short-term interest rates for a set of heterogeneous countries (the U.S., the Euro area, Brazil, India, Russia and South Africa) over the period from January 1999 to August 2012. Besides, the VAR models reveal that short-term interest rates respond to commodity volatility shocks whatever the country. Moreover, the linkage between commodity markets and monetary policy instruments is stronger since the recent financial crisis.
Fichier principal
Vignette du fichier
192-1789-1-PB.pdf (1.15 Mo) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-01511915 , version 1 (21-04-2017)

Identifiants

  • HAL Id : hal-01511915 , version 1

Citer

Kuhanathan Ano Sujithan, Sanvi Avouyi-Dovi, Lyes Koliai. Does Monetary Policy Respond to Commodity Price Shocks?. 62nd annual meeting of the AFSE, Jun 2013, Marseille, France. pp.52. ⟨hal-01511915⟩
1601 Consultations
370 Téléchargements

Partager

Gmail Facebook X LinkedIn More