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dc.contributor.authorApergis, Nicholas
dc.contributor.authorChatzianoniou, Ioannis
dc.contributor.authorCooray, Arusha
dc.date.accessioned2020-06-26T11:18:29Z
dc.date.available2020-06-26T11:18:29Z
dc.date.issued2020-06-20
dc.identifier.citationApergis, N., Chatzianoniou, I., and Cooray, A. (2020). 'Monetary policy and commodity markets: unconventional versus conventional impact and the role of economic uncertainty'. International Review of Financial Analysis, 101536, pp. 1-42.en_US
dc.identifier.issn1057-5219
dc.identifier.doi10.1016/j.irfa.2020.101536
dc.identifier.urihttp://hdl.handle.net/10545/624938
dc.description.abstractThis study explores the impact of both conventional and unconventional monetary policies in the US and the Euro area on the mean and volatility of certain commodity prices. The analysis considers the prices of eight commodities, i.e. oil, natural gas, gold, silver, aluminium, copper, platinum, and nickel, while the methodology employs the EGARCH-X modelling approach. The empirical findings clearly document that (i) the direction of the impact of both conventional and unconventional monetary policy on commodity returns and commodity volatility is similar and (ii) the impact from unconventional monetary policy on both commodity returns and volatility is relatively more pronounced, while these findings hold valid, irrespective of the geographical region and commodity type. Further investigation of the disparity on the size of the impact through the prism of economic uncertainty reveals that unconventional monetary policy has a stronger effect on economic uncertainty, thereby offering an indirect channel of monetary policy transmission on commodity markets.en_US
dc.description.sponsorshipN/Aen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.urlhttps://www.sciencedirect.com/journal/international-review-of-financial-analysis/articles-in-pressen_US
dc.relation.urlhttps://doi.org/10.1016/j.irfa.2020.101536en_US
dc.rightsCC0 1.0 Universal*
dc.rights.urihttp://creativecommons.org/publicdomain/zero/1.0/*
dc.subjectEconomicsen_US
dc.subjectConventional monetary policy, Unconventional monetary policy, Commodity returns, Mean and conditional volatility, Economic uncertaintyen_US
dc.titleMonetary policy and commodity markets: unconventional versus conventional impact and the role of economic uncertaintyen_US
dc.typeArticleen_US
dc.contributor.departmentUniversity of Derbyen_US
dc.contributor.departmentUniversity of Portsmouthen_US
dc.contributor.departmentEmbassy of Sri Lanka in Osloen_US
dc.contributor.departmentCentre for Poverty Analysis, Sri Lankaen_US
dc.identifier.journalInternational Review of Financial Analysisen_US
dcterms.dateAccepted2020-05-19
dc.author.detail786373en_US


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CC0 1.0 Universal
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