Institute of Information Theory and Automation

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Research Report

ECB monetary policy and commodity prices

Aliyev S., Kočenda Evžen

: FFA VSE, (Praha 2022)

: Research Report 8/2022

: European Central Bank, commodity prices, short-term interest rates, M2 stock, monetary aggregate, unconventional monetary policy, Structural Vector Autoregressive model, exchange rates

: http://library.utia.cas.cz/separaty/2022/E/kocenda-0564445.pdf

(eng): 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.

: AH

: 50202

2019-01-07 08:39