The Financial Market Impact of Unconventional Monetary Policies in the U.S., the U.K., the Eurozone, and Japan

Kaoru Hosono and Shogo Isobe
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Shogo Isobe: Researcher, Policy Research Institute

Discussion papers from Policy Research Institute, Ministry of Finance Japan

Abstract: This paper investigates the impact of the unconventional policies implemented by the Federal Reserve, the Bank of England, the European Central Bank, and the Bank of Japan on the returns on a broad class of assets in a comprehensive and consistent manner. Controlling for market expectations, we find that for most economies and periods, policies had the effect of lowering long-term government bond yields and the exchange rate of the home currency; for some economies and periods we also find an impact on corporate bond spreads, interbank loan spreads, and stock prices. We further find that policy announcements that were accompanied by forward guidance tended to have a more significant and greater impact on a broad range of assets than policy announcements without forward guidance.

Keywords: Unconventional monetary policies; Event study; Announcement (search for similar items in EconPapers)
JEL-codes: E58 F31 G12 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2014-06
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:mof:wpaper:ron259

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