Publication detail

ECB Monetary Policy and Commodity Prices

Author(s): Shahriyar Aliyev MSc.,
prof. Ing. Evžen Kočenda M.A., Ph.D., DSc.,
Type: IES Working Papers
Year: 2020
Number: 8
Published in: IES Working Papers 8/2020
Publishing place: Prague
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: Aliyev S., Kočenda E. (2020): "ECB Monetary Policy and Commodity Prices" IES Working Papers 8/2020. IES FSV. Charles University.
Abstract: 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.
Downloadable: wp_2020_08_aliyev_kocenda
July 2020




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