Measuring the Effects of Unconventional Monetary Policy on Asset Prices

@inproceedings{Swanson2015MeasuringTE,
  title={Measuring the Effects of Unconventional Monetary Policy on Asset Prices},
  author={Eric T. Swanson},
  year={2015}
}
  • Eric T. Swanson
  • Published 2015
  • Economics
  • I adapt the methods of Gurkaynak, Sack, and Swanson (2005) to estimate two dimensions of monetary policy during the 2009–2015 zero lower bound period in the U.S. I show that, after a suitable rotation, these two dimensions can be interpreted as “forward guidance” and “large-scale asset purchases” (LSAPs). I estimate the sizes of the forward guidance and LSAP components of each FOMC announcement between January 2009 and June 2015, and show that those estimates correspond closely to identifiable… CONTINUE READING

    Create an AI-powered research feed to stay up to date with new papers like this posted to ArXiv

    Tables from this paper.

    References

    Publications referenced by this paper.
    SHOWING 1-10 OF 16 REFERENCES

    U.S. Stocks Surge after Fed Gets Dovish on Policy,

    • Money Beat
    • The Wall Street Journal
    • 2014

    No Taper Shocks Wall Street: Fed ‘Running Scared’,

    • Money Beat
    • The Wall Street Journal
    • 2013

    Wyoming (Kansas City: Federal Reserve Bank of Kansas City) 185–288, available at http://www.kansascityfed.org/publications/research

    • Jackson Hole
    • Economic Journal 122,
    • 2012