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Monetary Policy and Commodity Futures (ICPSR 1315)
Principal Investigator(s): Armesto, Michelle T., Federal Reserve Bank of St. Louis; Gavin, William T., Federal Reserve Bank of St. Louis
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.
These data are flagged as replication datasets 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.
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Armesto, Michelle T., and William T. Gavin. Monetary Policy and Commodity Futures. ICPSR01315-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2005-11-28. http://doi.org/10.3886/ICPSR01315.v1
Persistent URL: http://doi.org/10.3886/ICPSR01315.v1
This study was funded by:
- Federal Reserve Bank of St. Louis. Research Division
Scope of Study
Data Collection Notes:
(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.
Original ICPSR Release: 2005-11-28
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