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

    13350.pdf (637.2Kb)
    Access Status
    Open access
    Authors
    Hassan, A.
    Salim, Ruhul
    Date
    2011
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Hassan, A.F.M. Kamrul and Salim, Ruhul A. 2011. Is there any link between commodity price and monetary policy? Evidence from Australia. Economic Analysis and Policy. 41 (3): pp. 205-216.
    Source Title
    Economic Analysis and Policy
    DOI
    10.1016/S0313-5926(11)50033-5
    ISSN
    03135926
    School
    School of Economics and Finance
    Remarks

    Copyright © 2011 The Economic Society of Australia

    URI
    http://hdl.handle.net/20.500.11937/13370
    Collection
    • Curtin Research Publications
    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.

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