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U.S. Monetary Policy and Herding: Evidence from Commodity Markets

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Abstract

This paper investigates the presence of herding behavior across a spectrum of commodities (i.e., agricultural, energy, precious metals, and metals) futures prices obtained from Datastream. For the first time in English-language literature, this study provides an explicit investigation of the role of deviations of U.S. monetary policy decisions from a standard Taylor-type monetary rule, in driving herding behavior with respect to commodity futures prices, spanning the period 1990–2017. The results document that the commodity markets are characterized by herding. Such herding behavior is not only driven by U.S. monetary policy decisions. Such decisions exert asymmetric effects on this behavior. An additional novelty is that the results document that herding is stronger during discretionary monetary policy regimes.

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Acknowledgements

The authors need to express their gratitude to two Reviewers of this journal whose professional and valuable comments and suggestions enhanced the merit of this work. Special thanks also go to the Editor for giving them the chance to revise their work. Needless to say, any remaining errors are within authors’ responsibility zone.

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Authors and Affiliations

  1. University of Derby, Derby, UK

    Nicholas Apergis

  2. Open University of Cyprus, Latsia, Cyprus

    Chritina Christou

  3. King Abdulaziz University, Jeddah, Saudi Arabia

    Tasawar Hayat & Tareq Saeed

  4. Quaid-I-Azam University, Islamabad, Pakistan

    Tasawar Hayat

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  1. Nicholas Apergis
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Correspondence to Nicholas Apergis.

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Apergis, N., Christou, C., Hayat, T. et al. U.S. Monetary Policy and Herding: Evidence from Commodity Markets. Atl Econ J 48, 355–374 (2020). https://doi.org/10.1007/s11293-020-09680-4

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