Unconventional monetary policy had large international effects

Christopher Neely

Journal of Banking & Finance, 2015, vol. 52, issue C, 101-111

Abstract: The Federal Reserve’s unconventional monetary policy announcements in 2008–2009 substantially reduced international long-term bond yields and the spot value of the dollar. These changes closely followed announcements and were very unlikely to have occurred by chance. A simple portfolio choice model can produce quantitatively plausible changes in U.S. and foreign excess bond yields. The jump depreciations of the USD are fairly consistent with estimates of the impacts of previous equivalent monetary policy shocks. The policy announcements do not appear to have reduced yields by reducing expectations of real growth. Unconventional policy can reduce international long-term yields and the value of the dollar even at the zero bound.

Keywords: Large scale asset purchase; Quantitative easing; Event study; Monetary policy; Zero bound (search for similar items in EconPapers)
JEL-codes: E58 E61 F31 G12 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (297)

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Working Paper: The large scale asset purchases had large international effects (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:52:y:2015:i:c:p:101-111

DOI: 10.1016/j.jbankfin.2014.11.019

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