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

Eric Swanson

Journal of Monetary Economics, 2021, vol. 118, issue C, 32-53

Abstract: The methods of Gürkaynak 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.

Keywords: Quantitative easing; High-frequency; Zero lower bound; Unconventional monetary policy; Persistence (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (208)

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Related works:
Working Paper: Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets (2017)
Working Paper: Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:118:y:2021:i:c:p:32-53

DOI: 10.1016/j.jmoneco.2020.09.003

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