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Does Monetary Policy Respond to Commodity Price Shocks?

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192-1789-1-PB.pdf (1.150Mb)
Date
2013
Dewey
Macroéconomie
Sujet
Markov - switching; Commodity prices; VAR models; Monetary Policy
JEL code
E.E4.E43; E.E5.E52; E.E5.E58
Conference name
62nd annual meeting of the AFSE
Conference date
06-2013
Conference city
Marseille
Conference country
France
URI
https://basepub.dauphine.fr/handle/123456789/11718
Collections
  • LEDa : Publications
Metadata
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Author
Ano Sujithan, Kuhanathan
status unknown
Avouyi-Dovi, Sanvi
status unknown
Koliai, Lyes
status unknown
Type
Communication / Conférence
Item number of pages
52
Abstract (EN)
Commodity prices, especially oil prices, peaked in the aftermath of the financial crisis of 2007 and they have remained highly volatile. All things being equal, the increase in commodity prices may induce a similar tendency of inflation and hence become a monetary policy issue. However, the impact of the changes of commodity prices on inflation is not clear. In this paper, by using Markov-switching models we show that there is an implicit impact of commodity markets on short-term interest rates for a set of heterogeneous countries (the U.S., the Euro area, Brazil, India, Russia and South Africa) over the period from January 1999 to August 2012. Besides, the VAR models reveal that short-term interest rates respond to commodity volatility shocks whatever the country. Moreover, the linkage between commodity markets and monetary policy instruments is stronger since the recent financial crisis.

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