Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56589 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorHayo, Bernden
dc.contributor.authorKutan, Ali M.en
dc.contributor.authorNeuenkirch, Matthiasen
dc.date.accessioned2011-03-08-
dc.date.accessioned2012-04-04T13:56:29Z-
dc.date.available2012-04-04T13:56:29Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/56589-
dc.description.abstractUsing 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
dc.language.isoengen
dc.publisher|aPhilipps-University Marburg, Faculty of Business Administration and Economics |cMarburgen
dc.relation.ispartofseries|aMAGKS Joint Discussion Paper Series in Economics |x05-2011en
dc.subject.jelE52en
dc.subject.jelE58en
dc.subject.jelG14en
dc.subject.jelQ10en
dc.subject.jelQ40en
dc.subject.ddc330en
dc.subject.keywordcentral bank communicationen
dc.subject.keywordcommoditiesen
dc.subject.keywordFederal Reserve Banken
dc.subject.keywordmonetary policyen
dc.subject.keywordprice volatilityen
dc.subject.stwGeldpolitiken
dc.subject.stwStaatliche Informationen
dc.subject.stwAnkündigungseffekten
dc.subject.stwRohstoffpreisen
dc.subject.stwVolatilitäten
dc.subject.stwUSAen
dc.titleCommunication matters: US monetary policy and commodity price volatility-
dc.typeWorking Paperen
dc.identifier.ppn651739705en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.