Monetary policy and commodity prices: an endogenous analysis using an SVAR approach

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Borradores de Economía; No. 610
Date published
2010-06-18
Date of last update
2010-06-18
Author
Flórez, Luz Adriana
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
This work analyzes the relationship between real interest rates and commodity prices. According to Frankel's hypothesis (1986-2006): "low real interest rates lead to high real commodity prices". However, some empirical evidence suggests that commodity pri
JEL Codes
G14 - Information and Market Efficiency; Event Studies; Insider TradingC32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space ModelsE31 - Price Level; Inflation; DeflationE52 - Monetary Policy
Keywords
Monetary policy ; Commodity prices ; SVAR models ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5627
https://hdl.handle.net/20.500.12134/5627
https://doi.org/10.32468/be.610
https://ideas.repec.org/p/bdr/borrec/610.html
https://ideas.repec.org/p/col/000094/007183.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit