Michael S. Hanson: Consumer & Commodity Prices

Michael S. Hanson
Department of Economics

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

Abstract: 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 a monetary 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."

Download PDF File (332 K, 01-Mar-2004)

Created: Saturday, November 6, 1999
Updated: Monday, April 5, 2004
Version: 1.1.0a

Monetary Factors in the Long-Run Co-movement of Consumer and Commodity Prices
Abstract:	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 a monetary 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."
Download PDF File (332 K, 01-Mar-2004)