Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56589
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dc.contributor.authorHayo, Bernden_US
dc.contributor.authorKutan, Ali M.en_US
dc.contributor.authorNeuenkirch, Matthiasen_US
dc.date.accessioned2011-03-08en_US
dc.date.accessioned2012-04-04T13:56:29Z-
dc.date.available2012-04-04T13:56:29Z-
dc.date.issued2011en_US
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_US
dc.language.isoengen_US
dc.publisher|aUniv., Dep. of Business Administration & Economics |cMarburgen_US
dc.relation.ispartofseries|aJoint discussion paper series in economics |x05-2011en_US
dc.subject.jelE52en_US
dc.subject.jelE58en_US
dc.subject.jelG14en_US
dc.subject.jelQ10en_US
dc.subject.jelQ40en_US
dc.subject.ddc330en_US
dc.subject.keywordcentral bank communicationen_US
dc.subject.keywordcommoditiesen_US
dc.subject.keywordFederal Reserve Banken_US
dc.subject.keywordmonetary policyen_US
dc.subject.keywordprice volatilityen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwStaatliche Informationen_US
dc.subject.stwAnkündigungseffekten_US
dc.subject.stwRohstoffpreisen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwUSAen_US
dc.titleCommunication matters: US monetary policy and commodity price volatilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn651739705en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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