@techreport{Hayo2011Communication,
abstract = {Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility of commodities for the period 1998-2009. We find, first, that U.S. monetary policy events have an economically significant impact on price volatility. Second, expected target rate changes and communications decrease volatility, whereas target rate surprises and unorthodox monetary policy measures increase it. Third, we find a change in reaction to central bank communication during the recent financial crisis: the 'calming' effect of communication found for the whole sample is partly offset during that period.},
address = {Marburg},
author = {Bernd Hayo and Ali M. Kutan and Matthias Neuenkirch},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E52; E58; G14; Q10; Q40; 330; central bank communication; commodities; Federal Reserve Bank; monetary policy; price volatility; Geldpolitik; Staatliche Information; Ank\"{u}ndigungseffekt; Rohstoffpreis; Volatilit\"{a}t; USA},
language = {eng},
number = {05-2011},
publisher = {Univ., Dep. of Business Administration & Economics},
title = {Communication matters: US monetary policy and commodity price volatility},
type = {Joint discussion paper series in economics},
url = {http://hdl.handle.net/10419/56589},
year = {2011}
}
