Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56589
Authors: 
Hayo, Bernd
Kutan, Ali M.
Neuenkirch, Matthias
Year of Publication: 
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
commodities
Federal Reserve Bank
monetary policy
price volatility
JEL: 
E52
E58
G14
Q10
Q40
Document Type: 
Working Paper

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