Measuring the effects of federal reserve forward guidance and asset purchases on financial markets

• 成果类型: Article
• 署名作者: Swanson, Eric T.
• 署名单位: University of California System; University of California Irvine
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2020.09.003
• 发表日期: 2021
• 页码: 32-53
• 关键词: Quantitative easing; high-frequency; zero lower bound; unconventional monetary policy; persistence

摘要

The methods of G?rkaynak et al. (2005a) are extended to separately identify surprise changes in the federal funds rate, forward guidance, and large-scale asset purchases (LSAPs) for each FOMC announcement from July 1991 to June 2019. Forward guidance and LSAPs had substantial and highly statistically significant effects on Treasury yields, corporate bond yields, stock prices, and exchange rates, comparable in magnitude to the effects of the federal funds rate in normal times. These effects were all very persistent, with the exception of the very large and perhaps special March 2009 ?QE1? announcement for LSAPs. ? 2020 Elsevier B.V. All rights reserved.