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dc.contributor.authorHassan, A.
dc.contributor.authorSalim, Ruhul
dc.date.accessioned2017-01-30T11:36:41Z
dc.date.available2017-01-30T11:36:41Z
dc.date.created2011-11-06T20:01:13Z
dc.date.issued2011
dc.identifier.citationHassan, 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.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/13370
dc.identifier.doi10.1016/S0313-5926(11)50033-5
dc.description.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.

dc.publisherThe Economic society of Australia
dc.subjectVector autoregressive
dc.subjectGranger causality
dc.subjectUnemployment
dc.subjectInflation
dc.subjectCommodity price
dc.subjectShort term interest
dc.subjectCointegration
dc.titleIs there any link between commodity price and monetary policy? Evidence from Australia
dc.typeJournal Article
dcterms.source.volume41
dcterms.source.number3
dcterms.source.startPage1
dcterms.source.endPage12
dcterms.source.issn03135926
dcterms.source.titleEconomic Analysis and Policy
curtin.note

Copyright © 2011 The Economic Society of Australia

curtin.departmentSchool of Economics and Finance
curtin.accessStatusOpen access


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