The impact of the fed monetary policy shocks on commodity markets: evidence from time-varying local projections

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F25%3A00641358" target="_blank" >RIV/00216208:11640/25:00641358 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1016/j.frl.2025.108763" target="_blank" >https://doi.org/10.1016/j.frl.2025.108763</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.frl.2025.108763" target="_blank" >10.1016/j.frl.2025.108763</a>

Result language
angličtina
Original language name
The impact of the fed monetary policy shocks on commodity markets: evidence from time-varying local projections
Original language description
We investigate the impact of US Federal Reserve unanticipated monetary policy shocks on real gold, silver and oil prices. We use the US monetary policy uncertainty shock of Bu et al. (2021), over a period with both conventional and unconventional Fed policy. Accounting for potential time variation in the transmission of shocks, a time-varying local projection model with stochastic volatility is employed. Results reveal that monetary policy shocks exert statistically significant effects on commodity prices, with marked differences before and after 2008, highlighting the importance of accounting for dynamic and evolving relationships in the monetary policy–commodity price nexus.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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