| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21816 |
| 来源ID | Working Paper 21816 |
| Measuring the Effects of Unconventional Monetary Policy on Asset Prices | |
| Eric T. Swanson | |
| 发表日期 | 2015-12-21 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | 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 features of major FOMC announcements over that period. Forward guidance has relatively small effects on the longest-maturity Treasury yields and essentially no effect on corporate bond yields, while LSAPs have large effects on those yields but essentially no effect on short-term Treasuries. Both types of policies have significant effects on medium-term Treasury yields, stock prices, and exchange rates. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy |
| URL | https://www.nber.org/papers/w21816 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579490 |
| 推荐引用方式 GB/T 7714 | Eric T. Swanson. Measuring the Effects of Unconventional Monetary Policy on Asset Prices. 2015. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w21816.pdf（298KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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