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Central Bank Announcements of Asset Purchases and the Impact on Global Financial and Commodity Markets

To capture several features of housing booms, we look at three variables: real credit to the private sector, residential investment and real house prices. Apart from interest rates, all variables are in logs. The data is taken from the OECD Economic Outlook, the IMF International Financial Statistics (IFS), and the BIS Macro database. The variables and data sources are listed in the appendix. We estimate the model on quarterly data over the period of the Great Moderation from 1984 Q1 to 2007 Q2 with two lags. 5 We therefore exclude the turbulent years of the high in ation period from the late 1970s to the early 1980s and of. | FEDERAL RESERVE BANK OF SAN FRANCISCO WORKING PAPER SERIES Central Bank Announcements of Asset Purchases and the Impact on Global Financial and Commodity Markets Reuven Glick Federal Reserve Bank of San Francisco Sylvain Leduc Federal Reserve Bank of San Francisco December 2011 Working Paper 2011-30 http www.frbsf.org publications economics papers 2011 wp11-30bk.pdf The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Federal Reserve Banks of San Francisco and Atlanta or the Board of Governors of the Federal Reserve System. Central Bank Announcements of Asset Purchases and the Impact on Global Financial and Commodity Markets Reuven Glick and Sylvain Leduc Economic Research Department Federal Reserve Bank of San Francisco This draft December 12 2011 Abstract We present evidence on the effects of large-scale asset purchases by the Federal Reserve and the Bank of England since 2008. We show that announcements about these purchases led to lower long-term interest rates and depreciations of the U.S. dollar and the British pound on announcement days while commodity prices generally declined despite this more stimulative financial environment. We suggest that LSAP announcements likely involved signaling effects about future growth that led investors to downgrade their U.S. growth forecasts lowering longterm US yields depreciating the value of the U.S. dollar and triggering a decline in commodity prices. Moreover our analysis illustrates the importance of controlling for market expectations when assessing these effects. We find that positive U.S. monetary surprises led to declines in commodity prices even as long-term interest rates fell and the U.S. dollar depreciated. In contrast on days of negative U.S. monetary surprises i.e. when markets evidently believed that monetary policy was less stimulatory than expected long-term yields the value of the dollar and commodity prices all tended to .