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

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: 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