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Spillover Effects Of U.S. Federal Reserve’S Recent Quantitative Easing On Canadian Commodity Prices

Author

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  • Saghaian, Sayed
  • Reed, Michael
Abstract
In this study, we evaluate the spillover effects of the recent U.S. Federal Reserve’s purchase of long-term assets (quantitative easing) on prices of Canadian commodities. The first large-scale asset purchases happened after the Great Recession, at the end of 2008, and the second purchases were in November of 2010. Since the U.S. is a large country, those policies have international spillover effects, particularly on Canada, a major economic partner. The commodities included in this analysis are Canadian livestock (cattle, hogs, and poultry), cereal grains (corn, soybeans, and wheat), softs (sugar, coffee, and cocoa), and energy (crude oil and natural gas). Using historical decomposition graphs, we find significant spillover effects on the Canadian commodity prices under investigation in the immediate neighborhood (seven-month horizon) of the large-scale asset purchases, especially the second round of quantitative easing.

Suggested Citation

  • Saghaian, Sayed & Reed, Michael, 2015. "Spillover Effects Of U.S. Federal Reserve’S Recent Quantitative Easing On Canadian Commodity Prices," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 3(1), pages 1-33, January.
    • Handle: RePEc:ags:ijfaec:200124
    DOI: 10.22004/ag.econ.200124
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    References listed on IDEAS

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    3. Lucian Liviu ALBU & Radu LUPU & Adrian Cantemir CĂLIN, 2016. "Quantitative Easing, Tapering And Stock Market Indices," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(3), pages 5-23.
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    5. Chang, Jui-Chuan Della & Chang, Kuang-Liang, 2018. "The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 15-28.

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