The impact of US monetary policy shocks on commodity markets

Over the past decades, base metals and agricultural commodity markets have been buffeted by high volatility, which has impacted the global economy, financial and political stability of commodity-dependent countries, and consumption and industrial production in advanced economies. Given the importance of commodities (21.3% of CPI All ¿ ex-energy) in the U.S. Consumer Price Index, as well as for the developing world, the factors that influence price fluctuation became a source of concern for policymakers and have revived an increased interest by academics. According to Chairman Bernanke (2011), beyond the fundamentals of supply and demand; there are other drivers, even in small part behind the commodity price soar.This paper aims to identify the Fed's pure monetary policy shocks and central bank information effect and assess their impacts on individual agricultural and industrial metal prices by the mean of unrestricted VAR.