Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/228089
Authors: 
Aliyev, Shahriyar
Koécenda, Evézen
Year of Publication: 
2020
Series/Report no.: 
IES Working Paper No. 08/2020
Abstract: 
We analyze the impact of the ECB monetary policies on global aggregate and sectoral commodity prices using monthly data from January 2001 till August 2019. We employ a SVAR model and assess separately period of conventional monetary policy before global financial crisis (GFC) and unconventional monetary policy during post-crisis period. Our key results indicate that contractionary monetary policy shocks have positive effects on the aggregate and sectoral commodity prices during both conventional and unconvetional monetary policy periods. The effect is statistically significant for aggregate commodity prices during post-crisis period. In terms of sectoral impact, the effect is statistically significant for food prices in both periods and for fuel prices during post-crisis period; other commodities display positive but statistically insignificant responses. Further, we demonstrate that the impact of the ECB monetary policy on commodity prices increased remarkably after the GFC. Our results also suggest that the effect of the ECB monetary policy on commodity prices does not transmit directly through market demand and supply expectations channel, but rather through the exchange rate channel that influences the European market demand directly.
Subjects: 
European Central Bank
commodity prices
short-term interest rates
unconventional monetary policy
Structural Vector Autoregressive model
exchange rates
JEL: 
C54
E43
E58
F31
G15
Q02
Document Type: 
Working Paper

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