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Asset market responses to conventional and unconventional monetary policy shocks in the United States

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  • Claus, Edda
  • Claus, Iris
  • Krippner, Leo

Abstract

We quantify the responses of a wide range of United States financial market variables to domestic monetary policy shocks over conventional and unconventional monetary policy environments. Our results show that responses to policy shocks are in the same direction but generally larger and more significant in the unconventional period. The larger responses are mostly due to larger shocks in the unconventional period, but some variables show evidence of a larger transmission of shocks. We separately use our framework to test shadow short rate estimates as a proxy for short-maturity interest rates across conventional and unconventional periods.

Suggested Citation

  • Claus, Edda & Claus, Iris & Krippner, Leo, 2018. "Asset market responses to conventional and unconventional monetary policy shocks in the United States," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 270-282.
  • Handle: RePEc:eee:jbfina:v:97:y:2018:i:c:p:270-282
    DOI: 10.1016/j.jbankfin.2018.10.009
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    More about this item

    Keywords

    Asset markets; Monetary policy shocks; Shadow short rate; Lower bound;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes

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