Asset Price Spillovers from Unconventional Monetary Policy: A Global Empirical Perspective

Abstract

This paper sheds new light on spillovers from US monetary policies before, during and after the 2008-09 global financial crisis by examining the behavior of select financial asset returns and incorporating indicators of the content of US Federal Open Market Committee announcements. The impact of US monetary policies is examined for systematically-important and small-open advanced economies. US monetary policy surprise easings are found to have decreased yields in advanced economies post-crisis. The impact of the content of US Federal Open Market Committee statements, coded using text analysis software, is also found to be significant but sensitive to the state of the economy.

Keywords: central bank communication, financial asset prices, monetary policy spillovers, unconventional monetary policy

JEL Classification: G12, G28, E52, E58