The Impact of Federal Reserve Monetary Policy on Commodity Prices: Evidence from the U.S. Dollar Index and International Grain Futures and Spot Markets
文献类型： 外文期刊
作者： Ba, Xuezhen 1 ; Wang, Xizhao 1 ; Zhong, Yu 1 ;
作者机构： 1.Chinese Acad Agr Sci, Inst Agr Econ & Dev, Beijing 100081, Peoples R China
关键词： dollar index; international food prices; price discovery
期刊名称：AGRICULTURE-BASEL （ 影响因子：3.6； 五年影响因子：3.8 ）
ISSN：
年卷期： 2025 年 15 卷 9 期
页码：
收录情况： SCI
摘要： There is a strong connection between the Federal Reserve's monetary policy and the trend of international food prices. Employing the average information share model, EGARCH(Exponential Generalized Autoregressive Conditional Heteroskedasticity), and DCC-MGARCH(Dynamic Conditional Correlation-Multivariate Generalized Autoregressive Conditional Heteroskedasticity) models, this study investigates the relationship between the U.S. dollar index, international grain futures prices, and spot prices in the context of Federal Reserve monetary policy adjustments from 2000 to 2023. The findings reveal that, first, under conditions of long-run cointegration, the U.S. dollar index exerts a strong pricing influence over international grain futures, while grain futures demonstrate a significant price discovery function over spot prices. Second, both international grain futures and spot markets exhibit asymmetric volatility, with price increases being more pronounced than decreases in response to external shocks. Additionally, the U.S. dollar index has a unidirectional and inverse influence on grain futures prices, while futures and spot prices interact bidirectionally and move in the same direction. This paper contributes to understanding the impact of Federal Reserve monetary policy adjustments on international food prices and offers policy insights for countries to manage food import risks and maintain price stability.
- 相关文献
作者其他论文 更多>>
-
Study of Volatility Spillover from Crude Oil Futures to Grain Futures Across Multiple Cycles Based on the EEMD-BEKK-GARCH Model
作者：Wang, Xizhao;Pu, Mingzhe;Zhong, Yu;Sun, Shengxuan
关键词：crude oil futures; grain futures; EEMD method; BEKK-GARCH model
-
How the impact and mechanisms of digital financial inclusion on agricultural carbon emission intensity: new evidence from a double machine learning model
作者：Zheng, Fengtian;Chen, Siyu;Wang, Xizhao
关键词：digital financial inclusion; double machine learning (DML); carbon emission intensity (CEI); impact mechanisms; green transformation
-
Assessment of the effect of the reward policy for major grain-producing counties on county governments' incentives to support grain production
作者：Ba, Xuezhen;Wang, Xizhao;Zhong, Yu;Luo, Xi
关键词：RPMGC; CGISGP; food security; transfer payments; policy
-
Impact of Digital Agro-Technology Services on Technical Efficiency and Income of Small-Scale Farmers: Empirical Study from Mango Production in China
作者：Xie, Chongxin;Gao, Yun;Zhong, Yu;Zhao, Zhijun
关键词：digital agro-technology services; technology efficiency; income level
-
Evaluating China Food's Fertilizer Reduction and Efficiency Initiative Using a Double Stochastic Meta-Frontier Method
作者：Chen, Xi;Pu, Mingzhe;Zhong, Yu
关键词：agricultural sustainability; grain fertilizer use efficiency; fertilizer reduction; agricultural environmental pollution
-
Overstocked Agricultural Produce and Emergency Supply System in the COVID-19 Pandemic: Responses from China
作者：Pu, Mingzhe;Chen, Xi;Zhong, Yu
关键词：COVID-19; overstocked agricultural products; food loss; food system; online data; e-commerce; China
-
Rising concerns over agricultural production as COVID-19 spreads: Lessons from China
作者：Pu, Mingzhe;Zhong, Yu
关键词：COVID-19; Agricultural production; Food security; Food supply chain; China
