Commodity Price Responses to Monetary Policy Surprises

摘要: Commodity prices are important both as a source of shocks and for the propagation originating elsewhere in economy. Many vector autoregression (VAR) studies estimate gradual response commodity to monetary policy shocks. Exploiting information high-frequency financial market data, using methods Rigobon Sack (2004) I find that 10 basis point surprise change interest rates causes fall immediately by about 0.5%. This is two-thirds estimated S&P500, five times larger than VAR 12 months after shock. Metals tend respond more agricultural commodities. The oil similar other commodities, but imprecisely.