Monetary factors of commodity prices using fuzzy binomial approach

Abstract

This paper relates the illustration of policy related to monetary announcement on various international commodity price and explore the similarities and differences of the effect in QE1, QE2, QE3, exit stage and interest hike stage through event study method and the whole sample VAR model and rolling sample VAR model. Results show that: (1) the implementation of unconventional monetary policy has a significant positive effect on the international commodity market, while the exit plan and the interest rate increase policy have some negative effects on the commodity markets, but the effects are not significant. (2) In terms of the VAR whole samples, it can be seen that unconventional policies of monetary simulated by reserve of federal have an importance in impact on international commodity prices. This paper developed a approach of fuzzy binomial that can be utilized in various projects using commodity prices using uncertainty. In terms of the analysis of the rolling samples, the cumulative effect on commodity prices during QE1 and QE2 are stronger than that of QE3, exit stage and interest rate hike stage in general.