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

International Journal of Central Banking, Forthcoming

61 Pages Posted: 19 Jan 2018

See all articles by Domenico Lombardi

Domenico Lombardi

CIGI

Pierre L. Siklos

Wilfrid Laurier University - School of Business & Economics; Balsillie school of international affairs

Samantha St. Amand

Centre for International Governance Innovation (CIGI)

Date Written: December 26, 2017

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

Suggested Citation

Lombardi, Domenico and Siklos, Pierre L. and St. Amand, Samantha, Asset Price Spillovers from Unconventional Monetary Policy: A Global Empirical Perspective (December 26, 2017). International Journal of Central Banking, Forthcoming . Available at SSRN: https://ssrn.com/abstract=3103843

Domenico Lombardi

CIGI ( email )

67 Erb Street West
Waterloo, Ontario N2L 6C2
Canada

HOME PAGE: http://www.domenicolombardi.org

Pierre L. Siklos (Contact Author)

Wilfrid Laurier University - School of Business & Economics ( email )

Department of Economics
75 University Avenue W.
Waterloo, Ontario N2L 3C5
Canada
519-884-0710 Ext.. 3491 (Phone)

HOME PAGE: http://pierrelsiklos.com

Balsillie school of international affairs ( email )

67 Erb Street West
Waterloo, ON N2L 6C2
Canada

Samantha St. Amand

Centre for International Governance Innovation (CIGI) ( email )

57 Erb Street West
Waterloo, Ontario N2L 6C2
Canada

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