nmm 22 4500 ICPSR01315 MiAaI m f a u cr mn mmmmuuuu 130620s2005 miu f a eng d (MiAaI)ICPSR01315 MiAaI MiAaI Monetary Policy and Commodity Futures [electronic resource] Michelle T. Armesto , William T. Gavin 2005-11-28 Ann Arbor, Mich. Inter-university Consortium for Political and Social Research [distributor] 2005 ICPSR 1315 Numeric Title from ICPSR DDI metadata of 2013-06-20. AVAILABLE. This study is freely available to the general public. Also available as downloadable files. 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. Cf.: http://dx.doi.org/10.3886/ICPSR01315.v1 inflation icpsr interest rates icpsr monetary policy icpsr ICPSR XVIII. ICPSR Publication-Related Archive Armesto, Michelle T. Gavin, William T. Inter-university Consortium for Political and Social Research. ICPSR (Series) 1315 Access restricted ; authentication may be required: http://dx.doi.org/10.3886/ICPSR01315.v1