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Bibliografie

Research Report

ECB monetary policy and commodity prices

Aliyev S., Kočenda Evžen

: Institute of Economic Studies, Faculty of Social Science, Charles University, (Praha 2020)

: Research Report

: European Central Bank, commodity prices, monetary policy

: http://library.utia.cas.cz/separaty/2020/E/kocenda-0531087.pdf

(eng): 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.

: AH

: 50202

07.01.2019 - 08:39