Is there any link between commodity price and monetary policy? Evidence from Australia

K. Hassan; R.A. Salim

doi:10.1016/S0313-5926(11)50033-5

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Is there any link between commodity price and monetary policy? Evidence from Australia

Journal article

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Is there any link between commodity price and monetary policy? Evidence from Australia

K. Hassan and R.A. Salim

Economic Analysis and Policy, Vol.41(3), pp.205-215

2011

DOI: https://doi.org/10.1016/S0313-5926(11)50033-5

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Abstract

The aim of this paper is to examine whether the commodity prices predict inflation, unemployment and short term interest rate in Australia. Advanced time series econometric modeling such as vector autoregressive model, cointegration and granger causality are used for this purpose. The empirical results show that three commodity prices (COMRL, COMNRL and COMBSMTL) precede inflation. However, no evidence of reverse causation is found. These findings have important implication for monetary authority. Inflation targeting experience has so far been hit by positive supply shocks. In case of negative supply shock, commodity price may be useful in singling out the likely direction of inflation.

Details

Title: Is there any link between commodity price and monetary policy? Evidence from Australia
Authors/Creators: K. Hassan (Author/Creator)
R.A. Salim (Author/Creator) - Curtin University
Publication Details: Economic Analysis and Policy, Vol.41(3), pp.205-215
Publisher: Elsevier B.V.
Identifiers: 991005540823907891
Murdoch Affiliation: Murdoch University
Language: English
Resource Type: Journal article

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