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Evaluating asset-market effects of unconventional monetary policy: a multi-country review

Rogers, John H. ; Scotti, Chiara ; Wright, Jonathan H. ; Ellison, Martin ; Kara, Hakan

Economic policy, 2014-10, Vol.29 (80), p.749-799 [Periódico revisado por pares]

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Título:
Evaluating asset-market effects of unconventional monetary policy: a multi-country review
Autor: Rogers, John H. ; Scotti, Chiara ; Wright, Jonathan H. ; Ellison, Martin ; Kara, Hakan
Assuntos: Assets ; Bank assets ; Central banks ; Corporate bonds ; Economic policy ; Euro Zone ; European Central Bank ; Exchange rates ; Foreign exchange ; Government bonds ; Interest rates ; Manycountries ; Monetary policy ; Securities markets ; Stock prices ; Studies ; Surprise ; Yield
É parte de: Economic policy, 2014-10, Vol.29 (80), p.749-799
Notas: ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
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Descrição: This paper examines the effects of unconventional monetary policy by the Federal Reserve, Bank of England, European Central Bank and Bank of Japan on bond yields, stock prices and exchange rates. We use common methodologies for the four central banks, with daily and intradaily asset price data. We emphasize the use of intradaily data to identify the causal effect of monetary policy surprises. We find that these policies are effective in easing financial conditions when policy rates are stuck at the zero lower bound, apparently largely by reducing term premia.
Editor: Oxford: John Wiley & Sons Ltd
Idioma: Inglês

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