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

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  • Michael S. Hanson

    (Economics Department, Wesleyan University)

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 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.”

Suggested Citation

  • Michael S. Hanson, 2004. "Monetary Factors in the Long-Run Co-movement of Consumer and Commodity Prices," Wesleyan Economics Working Papers 2004-001, Wesleyan University, Department of Economics.
    • Handle: RePEc:wes:weswpa:2004-001
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    File URL: http://repec.wesleyan.edu/pdf/mshanson/2004001_hanson.pdf
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    More about this item

    Keywords

    Commodity price determination; vector autoregression; long-run restrictions; co-integration; monetary shocks;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E49 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Other

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