Is there any link between commodity price and monetary policy? Evidence from Australia
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 resu...
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| Format: | Journal Article |
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The Economic society of Australia
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/13370 |
| _version_ | 1848748329538682880 |
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| author | Hassan, A. Salim, Ruhul |
| author_facet | Hassan, A. Salim, Ruhul |
| author_sort | Hassan, A. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T07:03:19Z |
| format | Journal Article |
| id | curtin-20.500.11937-13370 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:03:19Z |
| publishDate | 2011 |
| publisher | The Economic society of Australia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-133702019-05-21T06:05:14Z Is there any link between commodity price and monetary policy? Evidence from Australia Hassan, A. Salim, Ruhul Vector autoregressive Granger causality Unemployment Inflation Commodity price Short term interest Cointegration 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. 2011 Journal Article http://hdl.handle.net/20.500.11937/13370 10.1016/S0313-5926(11)50033-5 The Economic society of Australia fulltext |
| spellingShingle | Vector autoregressive Granger causality Unemployment Inflation Commodity price Short term interest Cointegration Hassan, A. Salim, Ruhul Is there any link between commodity price and monetary policy? Evidence from Australia |
| title | Is there any link between commodity price and monetary policy? Evidence from Australia |
| title_full | Is there any link between commodity price and monetary policy? Evidence from Australia |
| title_fullStr | Is there any link between commodity price and monetary policy? Evidence from Australia |
| title_full_unstemmed | Is there any link between commodity price and monetary policy? Evidence from Australia |
| title_short | Is there any link between commodity price and monetary policy? Evidence from Australia |
| title_sort | is there any link between commodity price and monetary policy? evidence from australia |
| topic | Vector autoregressive Granger causality Unemployment Inflation Commodity price Short term interest Cointegration |
| url | http://hdl.handle.net/20.500.11937/13370 |