My da|ra Login

Detailed view

metadata language: English

Monetary Policy and Commodity Futures

Version
v0
Resource Type
Dataset : survey data
Creator
  • Armesto, Michelle T. (Federal Reserve Bank of St. Louis)
  • Gavin, William T. (Federal Reserve Bank of St. Louis)
Other Title
  • Archival Version (Subtitle)
Publication Date
2005-11-28
Funding Reference
  • Federal Reserve Bank of St. Louis. Research Division
Language
English
Free Keywords
inflation; interest rates; monetary policy
Description
  • Abstract

    This paper constructs daily measures of the real interest rate and expected inflation using commodity futures prices and the term structure of Treasury yields. We find that commodity futures markets respond to surprise increases in the federal funds rate target by raising the inflation rate expected over the next three to nine months. There is no evidence that the real interest rate responds to surprises in the federal funds target. The data from the commodity futures markets are highly volatile. We show that one can substantially reduce the noise using limited information estimators such as the median change. Nevertheless, the basket of commodities actually traded daily is quite narrow and we do not know whether our observable rates are closely connected to the unobservable inflation and real rates that affect economy-wide consumption and investment decisions.
  • Table of Contents

    Datasets:

    • DS1: Dataset
Collection Mode
  • (1) Files submitted are 0505wgp.zip and 0505wgAppendix.pdf. The file 0505wgp.zip contains the program files. The file 0505wgAppendix contains tables. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

Availability
Delivery
This version of the study is no longer available on the web. If you need to acquire this version of the data, you have to contact ICPSR User Support (help@icpsr.umich.edu).
Alternative Identifiers
  • 1315 (Type: ICPSR Study Number)
Relations
  • Is previous version of
    DOI: 10.3886/ICPSR01315.v1
Publications
  • Armesto, Michelle T., Gavin, William T.. Monetary policy and commodity futures. Federal Reserve Bank of St. Louis Review.87, (3), 395-406.2005.

Update Metadata: 2015-08-05 | Issue Number: 6 | Registration Date: 2015-06-15

Armesto, Michelle T.; Gavin, William T. (2005): Monetary Policy and Commodity Futures. Archival Version. Version: v0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/ICPSR01315