Hayo, Bernd; Kutan, Ali M.; Neuenkirch, Matthias - Volkswirtschaft Abteilung, Fachbereich … - 2011
Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility … of commodities for the period 1998–2009. We find, first, that U.S. monetary policy events have an economically … target rate surprises and unorthodox monetary policy measures increase it. Third, we find a change in reaction to central …