Commodity Price Responses to Monetary Policy Surprises
利用高频金融数据发现，利率意外上升10个基点会使商品价格立即下跌约0.6%，其反应幅度与标普500和汇率指数相似，且是标准向量自回归模型估计结果的五倍。
Abstract Information contained in high‐frequency financial market data reveals that a 10 basis‐point surprise increase in interest rates causes commodity prices to fall immediately by approximately 0.6%. This is similar to the estimated responses of both the Standard and Poor's 500 and a United States trade weighted exchange rate index, and approximately five times larger than the response in a standard vector autoregression, even twelve months after the shock. Metals prices tend to respond more than agricultural commodities. The point estimate for oil prices is similar to other commodities, but is estimated less precisely.