Evaluating asset-market effects of unconventional monetary policy: a multi-country review
研究了美联储、英格兰银行、欧洲央行和日本银行的非常规货币政策对债券收益率、股票价格和汇率的影响，使用日度和日内数据识别因果效应，发现这些政策在零利率下限时有效缓解金融条件。
SummaryThis paper examines the effects of unconventional monetary policy by the Federal Reserve, Bank of England, European Central Bank and Bank of Japan on bond yields, stock prices and exchange rates. We use common methodologies for the four central banks, with daily and intradaily asset price data. We emphasize the use of intradaily data to identify the causal effect of monetary policy surprises. We find that these policies are effective in easing financial conditions when policy rates are stuck at the zero lower bound, apparently largely by reducing term premia.— John H. Rogers, Chiara Scotti and Jonathan H. Wright