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Rogers, John H.

Scotti, Chiara

Wright, Jonathan H.

Yale University

Yale University EliScholar – A Digital Platform for Scholarly Publishing at Yale YPFS Documents Browse by Media Type 3-1-2014 Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison John H. Rogers Chiara Scotti Jonathan H. Wright Follow this and additional works at: https://elischolar.library.yale.edu/ypfs-documents Recommended Citation Rogers, John H.; Scotti, Chiara; and Wright, Jonathan H., "Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison" (2014). YPFS Documents. 864. https://elischolar.library.yale.edu/ypfs-documents/864 This Document is brought to you for free and open access by the Browse by Media Type at EliScholar – A Digital Platform for Scholarly Publishing at Yale. It has been accepted for inclusion in YPFS Documents by an authorized administrator of EliScholar – A Digital Platform for Scholarly Publishing at Yale. For more information, please contact elischolar@yale.edu. Board of Governors of the Federal Reserve System International Finance Discussion Papers Number 1101 March 2014 Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country ComparisonJohn H. Rogers Federal Reserve Board Chiara Scotti Federal Reserve Board Jonathan H. Wright Johns Hopkins NOTE:  International Finance Discussion Papers are preliminary materials circulated to stimulate discussion and critical comment.  References in publications to International Finance Discussion Papers (other than an acknowledgment that the writer has had access to unpublished material) should be cleared with the author or authors. Recent IFDPs are available on the Web at www.federalreserve.gov/pubs/ifdp/. This paper can be downloaded without charge from Social Science Research Network electronic library at http://www.ssrn.com/. This discussion paper is available for download from the Social Science Research Network electronic library. To view this article in its entirety please use the link provided below:View Full ArticleEvaluating Asset-Market Effects of UnconventionalMonetary Policy: A Cross-Country Comparison∗John H. Rogers† Chiara Scotti‡ Jonathan H. Wright§March 7, 2014AbstractThis paper examines the effects of unconventional monetary policy by the Fed-eral Reserve, Bank of England, European Central Bank and Bank of Japanon bond yields, stock prices and exchange rates. We use common methodolo-gies for the four central banks, with daily and intradaily asset price data. Weemphasize the use of intradaily data to identify the causal effect of monetarypolicy surprises. We find that these policies are effective in easing financial con-ditions when policy rates are stuck at the zero lower bound, apparently largelyby reducing term premia.∗We are grateful to David Bowman, Chris Erceg, Joseph Gagnon, Philip Lane, David López-Salido, Edward Nelson, Charlie Thomas, Beth-Anne Wilson, Egon Zakrajsek and two anonymousreferees for helpful comments. We thank Rebecca DeSimone and Eric English for outstandingresearch assistance. All errors are ours alone. The views expressed in this paper are solely theresponsibility of the authors and should not be interpreted as reflecting the views of the Board ofGovernors of the Federal Reserve System or of any other person associated with the Federal ReserveSystem.†International Finance Division, Federal Reserve Board, Washington DC 20551;john.h.rogers@frb.gov.‡International Finance Division, Federal Reserve Board, Washington DC 20551;chiara.scotti@frb.gov.§Department of Economics, Johns Hopkins University, Baltimore MD 21218; wrightj@jhu.edu.

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

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

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