Measuring the effects of federal reserve forward guidance and asset purchases on financial markets

被引：134
|
作者：
Swanson, Eric T. [1 ]
机构：
[1] Univ Calif Irvine, Dept Econ, 3151 Social Sci Plaza, Irvine, CA 92717 USA
来源：
JOURNAL OF MONETARY ECONOMICS | 2021年 / 118卷
关键词：
Quantitative easing; High-frequency; Zero lower bound; Unconventional monetary policy; Persistence; MONETARY-POLICY SURPRISES; TERM INTEREST-RATES; IDENTIFICATION;
D O I：
10.1016/j.jmoneco.2020.09.003
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The methods of G?rkaynak et al. (2005a) are extended to separately identify surprise changes in the federal funds rate, forward guidance, and large-scale asset purchases (LSAPs) for each FOMC announcement from July 1991 to June 2019. Forward guidance and LSAPs had substantial and highly statistically significant effects on Treasury yields, corporate bond yields, stock prices, and exchange rates, comparable in magnitude to the effects of the federal funds rate in normal times. These effects were all very persistent, with the exception of the very large and perhaps special March 2009 ?QE1? announcement for LSAPs. ? 2020 Elsevier B.V. All rights reserved.
引用
收藏
页码：32 / 53
页数：22
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