Asset Price Spillovers From Unconventional Monetary Policy: A Global Empirical Perspective
Pierre Siklos ()
LCERPA Working Papers from Laurier Centre for Economic Research and Policy Analysis
This paper sheds new light on spillovers from US monetary policies before, during and after the 2008-09 global financial crisis by examining the behavior of select financial asset returns and incorporating indicators of the content of US Federal Open Market Committee announcements. The impact of US monetary policies is examined for systematically-important and small-open advanced economies. US monetary policy surprise easings are found to have decreased yields in advanced economies post-crisis. The impact of the content of US Federal Open Market Committee statements, coded using text analysis software, is also found to be significant but sensitive to the state of the economy.
Keywords: central bank communication; financial asset prices; monetary policy spillovers; unconventional monetary policy (search for similar items in EconPapers)
JEL-codes: G12 G28 E52 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-big, nep-cba, nep-mac, nep-mon and nep-opm
Date: 2018-01-30, Revised 2018-01-30
Note: LCERPA Working Paper No. 2018-3, January 2018.
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Journal Article: Asset Price Spillovers from Unconventional Monetary Policy: A Global Empirical Perspective (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:wlu:lcerpa:0109
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