EconStor >
Federal Reserve Bank of New York >
Staff Reports, Federal Reserve Bank of New York >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/60881
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorRosa, Carloen_US
dc.date.accessioned2012-05-21en_US
dc.date.accessioned2012-08-17T14:36:06Z-
dc.date.available2012-08-17T14:36:06Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/60881-
dc.description.abstractThis paper examines the impact of large-scale asset purchases (LSAP) on U.S. asset prices (nominal and inflation-indexed bonds, stocks, and U.S. dollar spot exchange rates) using an event study with intraday data. The surprise component of LSAP announcements is identified from Financial Times articles. Estimation results show that the LSAP news has economically large and highly significant effects on asset prices, even after controlling for the surprise component of the Fed's conventional target rate decision and communication about its future path of policy. This study documents that the cumulative financial market impact of the Fed's LSAP program is equivalent to an unanticipated cut in the federal funds target rate that ranges between zero (for three-month yields) and 197 basis points (for ten-year yields), with the response of stock prices and foreign exchanges lying within this interval. These point estimates are, however, surrounded by considerable uncertainty. By looking at the cross-asset reactions, this work concludes that, for most U.S. asset prices, the effects of asset purchases are not statistically different from an unanticipated cut in the fed funds target rate. Finally, the response of U.K. asset prices (excepting FTSE 100 stocks) to the Bank of England's gilt purchases is quantitatively similar to the reaction of U.S. asset prices to the Fed's asset purchases.en_US
dc.language.isoengen_US
dc.publisherFederal Reserve Bank of New York New York, NYen_US
dc.relation.ispartofseriesStaff Report, Federal Reserve Bank of New York 560en_US
dc.subject.jelC14en_US
dc.subject.jelE52en_US
dc.subject.jelE58en_US
dc.subject.jelF31en_US
dc.subject.ddc330en_US
dc.subject.keywordU.S. Federal Reserveen_US
dc.subject.keywordBank of Englanden_US
dc.subject.keywordlarge-scale asset purchasesen_US
dc.subject.keywordhigh-frequency dataen_US
dc.titleHow unconventional are large-scale asset purchases? The impact of monetary policy on asset pricesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn715929054en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

Files in This Item:
File Description SizeFormat
715929054.pdf243.46 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.