Large-Scale Asset Purchases: Impact on Commodity Prices and International Spillover Effects

Arbeitspapier

Prices of commodities, including metals, energy and agricultural products, rose markedly over the 2009 - 2010 period. Some observers have attributed a significant part of this increase in commodity prices to the U.S. Federal Reserve's large-scale asset purchase (LSAP) programs. Using event-study methodologies, this paper investigates whether the announcement and subsequent implementation of the Fed's LSAPs, and communication of the tapering of these purchases, affected commodity prices. Our empirical results suggest that LSAP announcements did not lead to higher commodity prices. However, there is some evidence that the currencies of commodity exporters appreciated and that their stock markets posted gains. The results suggest that other factors, such as supply constraints and robust demand from emerging-market economies, were the likely drivers behind the increase in commodity prices. Last, the paper finds that commodity prices have become more sensitive to macroeconomic news when monetary policy is at the effective lower bound.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bank of Canada Working Paper ; No. 2015-21

Classification and Topics

• Classification: Wirtschaft ; Central Banks and Their Policies ; Information and Market Efficiency; Event Studies; Insider Trading ; Agricultural and Natural Resource Economics; Environmental and Ecological Economics: General
• Subject: International topics

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kozicki, Sharon ; Santor, Eric ; Suchanek, Lena
• Event: Veröffentlichung
• (who): Bank of Canada
• (where): Ottawa
• (when): 2015

Further information

• DOI: doi:10.34989/swp-2015-21
• Handle: http://hdl.handle.net/10419/123770
• Last update: 11.03.2025, 2:41 PM CET