Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5056057 | Economic Modelling | 2008 | 10 Pages |
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.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ramaprasad Bhar, Shigeyuki Hamori,