Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/123770
Authors: 
Kozicki, Sharon
Santor, Eric
Suchanek, Lena
Year of Publication: 
2015
Series/Report no.: 
Bank of Canada Working Paper 2015-21
Abstract: 
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.
Subjects: 
International topics
JEL: 
E58
G14
Q00
Document Type: 
Working Paper

Files in This Item:
File
Size
725.66 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.