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MAGKS Joint Discussion Paper Series in Economics, Universität Marburg >
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|Title:||Communication matters: US monetary policy and commodity price volatility |
Kutan, Ali M.
|Issue Date:||2011 |
|Series/Report no.:||Joint discussion paper series in economics 05-2011|
|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.|
|Subjects:||central bank communication|
Federal Reserve Bank
|Document Type:||Working Paper|
|Appears in Collections:||MAGKS Joint Discussion Paper Series in Economics, Universität Marburg|
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