Publication detail

ECB monetary policy and commodity prices

Author(s): MSc. Shahriyar Aliyev ,
prof. Ing. Evžen Kočenda M.A., Ph.D., DSc.,
Type: Submissions
Year: 2020
Number: 0
ISSN / ISBN:
Published in: International Journal of Central Banking
Publishing place:
Keywords: European Central Bank, commodity prices, short-term interest rates, unconventional monetary policy, Structural Vector Autoregressive model, exchange rates.
JEL codes: C54, E43, E58, F31, G15, Q02
Suggested Citation:
Abstract: We analyze the impact of ECB monetary policies on global aggregate and sectoral commodity prices using monthly data from January 2001 to August 2019. We employ a SVAR model and separately assess a period of conventional monetary policy before the global financial crisis (GFC) and a period of unconventional monetary policy during the post-crisis period. Our key results indicate that contractionary monetary policy shocks have positive effects on aggregate and sectoral commodity prices during both conventional and unconvetional monetary policy periods. The effect is statistically significant for aggregate commodity prices during the post-crisis period. In terms of sectoral impact, the effect is statistically significant for food prices in both periods, for metal prices during the pre-crisis period, and for beverage and fuel prices during the post-crisis period; other commodities display positive but statistically insignificant responses. Further, we demonstrate that the impact of ECB monetary policy on commodity prices increased considerably after the GFC. 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.

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