Original title: ECB monetary policy and commodity prices
Authors: Aliyev, S. ; Kočenda, Evžen
Document type: Research reports
Year: 2022
Language: eng
Series: FFA Working Paper, volume: 8/2022
Abstract: We assess the impact of ECB monetary policy on global aggregate and sectoral commodity prices over 2001–2019. We employ a SVAR model and separately assess periods before and after the global financial crisis. Our key results indicate that contractionary monetary policy shocks have positive effects on commodity prices during both conventional and unconventional monetary policy periods, indicating the effectiveness of unconventional monetary policy tools. The largest impact is documented on fuel and food commodities. Our results also suggest that the effect of ECB monetary policy on commodity prices transmits through the exchange rate channel, which influences European market demand.
Keywords: commodity prices; European Central Bank; exchange rates; M2 stock; monetary aggregate; short-term interest rates; Structural Vector Autoregressive model; unconventional monetary policy

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2022/E/kocenda-0564445.pdf
Original record: https://hdl.handle.net/11104/0336419

Permalink: http://www.nusl.cz/ntk/nusl-511843


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