U.S. monetary policy and herding: Evidence from commodity markets
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AbstractThis paper investigates the presence of herding behavior across a spectrum of commodities (i.e., agricultural, energy, precious metals, and metals) futures prices obtained from Datastream. The main novelty of this study is, for the first time in the literature, the explicit investigation of the role of deviations of U.S. monetary policy decisions from a standard Taylor-type monetary rule, in driving herding behavior with respect to commodity futures prices, spanning the period 1990-2017. The results document that the commodity markets are characterized by herding, while such herding behavior is not only driven by U.S. monetary policy decisions, but also such decisions exert asymmetric effects this behavior. An additional novelty of the results is that they document that herding is stronger in discretionary monetary policy regimes.
CitationApergis, N., Christou, C., Hayat, T., and Saeed, T. (2020). 'U.S. monetary policy and herding: Evidence from commodity markets'. Atlantic Economic journal, pp. 1-20.
JournalAtlantic Economic journal
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