Monetary Factors in the Long-Run Co-movement of Consumer and Commodity Prices

This paper estimates a structural VAR model of U.S. consumer and world commodity prices. An equiproportional long-run response of nominal price levels to amonetary shock yields identifying restrictions. Exogenous innovations to monetary policy account for a sizable share of the co-movement of these series, including during episodes more commonly attributed to “supply shocks.”

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Year of publication:	2004-03
Authors:	Hanson, Michael S.
Institutions:	Economics Department, Wesleyan University
Subject:	Commodity price determination \| vector autoregression \| long-run restrictions \| co-integration \| monetary shocks

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Extent:	application/pdf
Series:	Wesleyan Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2004-001 17 pages
Classification:	C32 - Time-Series Models ; E31 - Price Level; Inflation; Deflation ; E49 - Money and Interest Rates. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005518204