Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison

72 Pages Posted: 8 Apr 2014

See all articles by John H. Rogers

John H. Rogers

Fudan University - Fanhai International School of Finance (FISF)

Chiara Scotti

Board of Governors of the Federal Reserve System; Federal Reserve Banks - Federal Reserve Bank of Dallas

Jonathan H. Wright

Johns Hopkins University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: April 2, 2014

Abstract

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.

Keywords: Large scale asset purchases, quantitative easing, zero bound, term premium

JEL Classification: C22, E43, E48

Suggested Citation

Rogers, John H. and Scotti, Chiara and Wright, Jonathan H., Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison (April 2, 2014). FRB International Finance Discussion Paper No. 1101, Available at SSRN: https://ssrn.com/abstract=2420387 or http://dx.doi.org/10.2139/ssrn.2420387

John H. Rogers

Fudan University - Fanhai International School of Finance (FISF) ( email )

220 Handan Road
Shanghai, 200433
China

Chiara Scotti (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Federal Reserve Banks - Federal Reserve Bank of Dallas ( email )

2200 North Pearl Street
PO Box 655906
Dallas, TX 75265-5906
United States

Jonathan H. Wright

Johns Hopkins University - Department of Economics ( email )

3400 Charles Street
Baltimore, MD 21218-2685
United States

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