IDEAS home Printed from https://ideas.repec.org/a/ijc/ijcjou/y2019q2a2.html

Asset Price Spillovers from Unconventional Monetary Policy: A Global Empirical Perspective

Author

Listed:
  • Domenico Lombardi

    (Center for International Governance Innovation)

  • Pierre L. Siklos

    (Center for International Governance Innovation and Wilfrid Laurier University)

  • Samantha St. Amand

    (Center for International Governance Innovation)

Abstract

This paper sheds new light on spillovers from U.S. monetary policies before, during, and after the 2008-09 global financial crisis by examining the behavior of select financial asset returns and incorporating indicators of the content of U.S. Federal Open Market Committee announcements. The impact of U.S. monetary policies is examined for systemically important and small open advanced economies. U.S. monetary policy surprise easings are found to have decreased yields in advanced economies post-crisis. The impact of the content of U.S. Federal Open Market Committee statements, coded using text analysis software, is also found to be significant but sensitive to the state of the economy.

Suggested Citation

  • Domenico Lombardi & Pierre L. Siklos & Samantha St. Amand, 2019. "Asset Price Spillovers from Unconventional Monetary Policy: A Global Empirical Perspective," International Journal of Central Banking, International Journal of Central Banking, vol. 15(2), pages 43-74, June.
    • Handle: RePEc:ijc:ijcjou:y:2019:q:2:a:2
    as

    Download full text from publisher

    File URL: http://www.ijcb.org/journal/ijcb19q2a2.pdf
    Download Restriction: no
    File URL: http://www.ijcb.org/journal/ijcb19q2a2.htm
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pierre L. Siklos, 2020. "U.S. Monetary Policy since the 1950s and the Changing Content of FOMC Minutes," Southern Economic Journal, John Wiley & Sons, vol. 86(3), pages 1192-1213, January.
    2. Enzo Rossi & Vincent Wolff, 2020. "Spillovers to exchange rates from monetary and macroeconomic communications events," Working Papers 2020-18, Swiss National Bank.
    3. Monique Reid & Pierre Siklos, 2020. "Building Credibility and Influencing Expectations The Evolution of Central Bank Communication," Working Papers 10144, South African Reserve Bank.
    4. Dimitrios Kanelis & Pierre L. Siklos, 2022. "Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era," CAMA Working Papers 2022-75, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, revised Jun 2024.

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ijc:ijcjou:y:2019:q:2:a:2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Bank for International Settlements (email available below). General contact details of provider: https://www.ijcb.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.