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Faculty of Business Administration and Economics, Philipps-Universität Marburg >
MAGKS Joint Discussion Paper Series in Economics, Universität Marburg >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/56589
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Hayo, Bernd | | en_US |
| dc.contributor.author | | Kutan, Ali M. | | en_US |
| dc.contributor.author | | Neuenkirch, Matthias | | en_US |
| dc.date.accessioned | | 2011-03-08 | | en_US |
| dc.date.accessioned | | 2012-04-04T13:56:29Z | | - |
| dc.date.available | | 2012-04-04T13:56:29Z | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/56589 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Univ., Dep. of Business Administration & Economics Marburg | | en_US |
| dc.relation.ispartofseries | | Joint discussion paper series in economics 05-2011 | | en_US |
| dc.subject.jel | | E52 | | en_US |
| dc.subject.jel | | E58 | | en_US |
| dc.subject.jel | | G14 | | en_US |
| dc.subject.jel | | Q10 | | en_US |
| dc.subject.jel | | Q40 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | central bank communication | | en_US |
| dc.subject.keyword | | commodities | | en_US |
| dc.subject.keyword | | Federal Reserve Bank | | en_US |
| dc.subject.keyword | | monetary policy | | en_US |
| dc.subject.keyword | | price volatility | | en_US |
| dc.subject.stw | | Geldpolitik | | en_US |
| dc.subject.stw | | Staatliche Information | | en_US |
| dc.subject.stw | | Ankündigungseffekt | | en_US |
| dc.subject.stw | | Rohstoffpreis | | en_US |
| dc.subject.stw | | Volatilität | | en_US |
| dc.subject.stw | | USA | | en_US |
| dc.title | | Communication matters: US monetary policy and commodity price volatility | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 651739705 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | MAGKS Joint Discussion Paper Series in Economics, Universität Marburg
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