Research Article
Impact of U.S. monetary policy on China’s commodity prices in the background of COVID-19 pandemic Based on Experimental Analysis
@INPROCEEDINGS{10.4108/eai.18-11-2022.2326836, author={Jingjing Zhan and Aini Jiang}, title={Impact of U.S. monetary policy on China’s commodity prices in the background of COVID-19 pandemic Based on Experimental Analysis}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={monetary policy; spillover effect; event study model; abnormal rate of return}, doi={10.4108/eai.18-11-2022.2326836} }- Jingjing Zhan
Aini Jiang
Year: 2023
Impact of U.S. monetary policy on China’s commodity prices in the background of COVID-19 pandemic Based on Experimental Analysis
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2326836
Abstract
U.S. monetary policy is an important influencing factor for international commodity price volatility. In order to empirically analyze the spillover effect of U.S. monetary policy on China's commodity price volatility during COVID-19, this paper estimates the cumulative abnormal returns during the important monetary policy window based on an event study model using daily returns of various Chinese commodity futures indices and conducts statistical significance tests. The study shows that the announcement of "unlimited" quantitative easing monetary policy in the U.S. on March 23, 2020, significantly raised commodity prices in China in the short term in the precious metals, energy, coal, coke, steel, mining, non-metallic building materials, oil, and oilseeds sectors, while most commodity prices in China did not respond significantly to the announcement of large-scale lending policy in the U.S.