Article ID Journal Published Year Pages File Type
5056057 Economic Modelling 2008 10 Pages PDF
Abstract
This paper empirically examines the information content of commodity futures prices for monetary policy. We use the cross correlation function approach to empirically analyze the relationship between commodity futures prices and economic activities (e.g., consumer prices and industrial production) between January 1957 and February 2005. Empirical results show that commodity prices can serve as information variables for monetary policy not only in mean, but also in variance.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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