Study On Influences Of U.S. QE Policy To Commodity Price

Since November 25 th, 2008 to October 31 st, 2014, the Federal Reserve has launched four round of the QE policy in six years. It has produced a more profound impact for the economies and global economic indicators, but this is just a microcosm of the international monetary policy transmission. With the global capital markets continue to strengthen the linkage between a country’s implementation of monetary policy, the impacts have not only affected the domestic economy, but also have a significant impact on other economies and international markets underlying asset. The commodities has an important role on economic development, while China is still the world’s largest consumer and importer of refined copper, research impact the QE policy lead to copper price has its practical significance.This paper describes an overview of the US QE policy and international copper futures pricing mechanism, followed by theoretical analysis and empirical analysis methods. In the theoretical analysis level, mainly based on the analysis of supply and demand, the mechanism of how QE impacts the commodity prices, the classic Fisher equation analysis and monetary policy in terms of commodity prices overshoot theory. In the empirical analysis level, including the event study research methods and ARIMAX model.In the event study, it found that when the Fed launched the first round of QE, in the event window, resulting in a positive abnormal returns significantly different from zero, while the US Federal Reserve to exit when the fourth round of the QE policy resulting in a negative abnormal returns significantly different from zero. In ARIMAX model, the study found, the Fed launched the first round of QE, ARIMAX model fit well, and a dummy variable parameter is positive, and when the Fed exit the fourth round of the QE policy, the model fit well and the parameter dummy is negative. Furthermore, the empirical study of the two methods shows that the introduction of the US QE policy has a positive impact on copper prices, and the exit of the US QE policy has a negative impact on copper prices. In addition, both research methods have shown that, the positive impact on copper prices lead by the introduced of the US QE policy is much greater than the negative impact of copper prices lead by the exit of the US QE policy.