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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
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    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. Dr. 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," CQE Working Papers 10322, Center for Quantitative Economics (CQE), University of Muenster.

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    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

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