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Asset markets and monetary policy shocks at the zero lower bound

Edda Claus (), Iris Claus () and Leo Krippner ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This paper quantifies the impact of monetary policy shocks on asset markets in the United States and gauges the usefulness of a shadow short rate as a measure of conventional and unconventional monetary policy shocks. Monetary policy surprises are found to have had a larger impact on asset markets since short term interest rates reached the zero lower bound. Our results indicate that much of the increased reaction is due to changes in the transmission of shocks and only partly due to larger monetary policy surprises.

Keywords: Monetary policy shocks; zero lower bound; shadow short rate; asset prices; latent factor model. (search for similar items in EconPapers)
JEL-codes: E43 E52 E65 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2014-05
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2014-42

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