Evaluating asset-market effects of unconventional monetary policy: a multi-country review

By J. Rogers, Chiara Scotti, Jonathan H. Wright. 2014

319 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/717152194e0418ab368ecf90b9a1a52f111b446c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

Global dollar credit: links to US monetary policy and leverage (2015, unknown): “…effects of large-scale bond buying on the amount and pricing of dollar bonds issued by non-US borrowers operates in addition to any effect such unconventional policy has in lowering the yields on bonds denominated in other currencies (Neely (2014), Bauer and Neely (2014) and Rogers et al (2014)).”
Federal Reserve Policy in an International Context (2017, background): “…participants, and businesspeople holds that—because the dollar is the de facto world reserve currency (making up about 60 percent of official reserves) and is a major vehicle for international trade, credit flows, and payments—movements in the dollar are exceptionally consequential (Prasad, 2014).”
Unconventional monetary policy and the spillovers to emerging markets (2016, background): “Rogers et al. (2014) compare the causal effects on unconventional monetary policy surprises on high-frequency asset prices for major central banks A second line of research adopts a macroeconomic perspective using panel data or VAR models.”
The impact of the ECB's conventional and unconventional monetary policies on stock markets (2016, methodology): “To measure unexpected unconventional policies, we follow Rogers et al. (2014) who proxy the surprise by the change in the spread between German and Italian 10-year bond yields.”
Unconventional Monetary Policy and International Risk Premia (2016, methodology): “Throughout the paper we use monetary policy shocks at the ZLB as in Rogers et al. (2014). Following their methodology, we measure U.”
Non-monetary news in central bank communication (2018, methodology): “We implement this approach following the algorithm of Rubio-Ramirez et al. (2010) (see also Kilian and Lütkepohl (2017)).”
Measuring euro area monetary policy (2019, unknown): “Work on related questions for the euro area have been done by Brand et al. (2010) , Jardet and Monks (2014) , Andrade and Ferroni (2016) , Leombroni et al. (2017) , Cieslak and Schrimpf (2018) , Kane et al. (2018) , Rogers et al. (2014) , and Jaroci ́nski and Karadi (2018) among others.”