Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison

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

146 citations recorded by the source corpus.

This paper examines the effects of unconventional monetary policy by the Federal Reserve, Bank of England, European Central Bank and Bank of Japan on bond yields, stock prices and exchange rates. We use common methodologies for the four central banks, with daily and intradaily asset price data. We emphasize the use of intradaily data to identify the causal effect of monetary policy surprises. We find that these policies are effective in easing financial conditions when policy rates are stuck at the zero lower bound, apparently largely by reducing term premia.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/97b0e13d682bcf2e12b22233783a959b630aca23

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Citations in the corpus

Does unconventional monetary policy affect inequality? Evidence from Japan (2014, background): “While research on UMP’s impact on asset prices is still in its infancy, a recent study by Rogers et al. (2014) finds that the impact of monetary policy surprises on asset prices is larger when policy rates are stuck at the zero lower bound (and thus UMP is the only option left).”
Determinants of Global Spillovers from US Monetary Policy (2015, background): “…to the literature on the spillovers from US monetary policy to global financial markets (see Craine and Martin, 2008; Ehrmann and Fratzscher, 2009; Wongswan, 2009; Neely, 2010; Hausman and Wongswan, 2011; Gurkaynak and Wright, 2011; Fratzscher et al., 2013; Moore et al., 2013; Rogers et al., 2014).”
Effects of US quantitative easing on emerging market economies (2015, background): “Rogers et al (2014) is a cross-country empirical study while Fawley and Neely (2013) provides a narrative account of the LSAPs conducted by four major central banks.”
U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies (2014, methodology): “We find that monetary policy shocks have an effect on domestic interest rates, in line with the evidence in Rogers et al. (2013).”
Abenomics: Preliminary Analysis and Outlook (2014, methodology): “Based on an analysis of forward rate movements on April 4, Rogers, Scotti, and Wright (2014) argue that most of this movement in bond yields was due to the effect of this announcement on term premia.”
Unconventional monetary policy and the spillovers to emerging markets (2016, background): “[32] Rogers, J.”
Global dollar credit: links to US monetary policy and leverage (2015, unknown): “These findings are consistent with Bruno and Shin (2014b) and Rey (2013).”
Wealth Inequality and Monetary Policy (2016, background): “…monetary policies might have had the most significant effects on the dynamics of wealth inequality through changes in equity returns and house prices.16 The evidence suggests that unconventional policies had a relatively strong and immediate effect on equity prices (see eg Rogers et al (2014)).”
Federal Reserve Policy in an International Context (2017, background): “…Mancini-Griffoli, and Sahay (2014) find that unconventional monetary policy had relatively stronger effects, while Bowman, Londono, and Sapriza (2014) and Rogers, Scotti, and Wright (2014) don’t find a significant difference between the effects of conventional and unconventional monetary policies.”
Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme (2016, methodology): “The persistence of dynamic effects of bond purchases is rarely considered in the literature, with the exception of Wright (2012) and Rogers, Scotti, and Wright (2014).”