The Time Horizon of Price Responses to Quantitative Easing

47 Pages Posted: 21 Jun 2013 Last revised: 23 Feb 2018

See all articles by Harry Mamaysky

Harry Mamaysky

Columbia University - Columbia Business School

Date Written: February 23, 2018

Abstract

Studies of how quantitative easing (QE) impacts asset prices typically look for effects in one- or two-day windows around QE announcements. This methodology underestimates the impact of QE on asset classes whose responses happen outside of this short time frame. We document that QE announcements by the Fed, ECB, and the Bank of England are associated with: quick price reactions of medium- and long-term government bonds; but with reactions in equity and equity implied volatility that occur over several weeks. Robustness checks using past monetary policy episodes and the cross-section of US industry returns confirm these results.

Keywords: QE, Monetary Policy, Asset Purchases, Asset Prices

JEL Classification: E44, E52, E58, G12, G14

Suggested Citation

Mamaysky, Harry, The Time Horizon of Price Responses to Quantitative Easing (February 23, 2018). Available at SSRN: https://ssrn.com/abstract=2278567 or http://dx.doi.org/10.2139/ssrn.2278567

Harry Mamaysky (Contact Author)

Columbia University - Columbia Business School ( email )

3022 Broadway
New York, NY 10027
United States

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