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The effectiveness of nonstandard monetary policy measures: evidence from survey data

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  • Carlo Altavilla
  • Domenico Giannone

Abstract

We assess the perception of professional forecasters regarding the effectiveness of unconventional monetary policy measures announced by the U.S. Federal Reserve after the collapse of Lehman Brothers. Using survey data collected at the individual level, we analyze the change in forecasts of Treasury and corporate bond yields around the announcement dates of nonstandard monetary policy measures. We find that professional forecasters expect bond yields to drop significantly for at least one year after the announcement of accommodative policies.

Suggested Citation

  • Carlo Altavilla & Domenico Giannone, 2015. "The effectiveness of nonstandard monetary policy measures: evidence from survey data," Staff Reports 752, Federal Reserve Bank of New York.
  • Handle: RePEc:fip:fednsr:752
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    References listed on IDEAS

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    Cited by:

    1. King, Thomas B., 2019. "Expectation and duration at the effective lower bound," Journal of Financial Economics, Elsevier, vol. 134(3), pages 736-760.
    2. Inoue, Atsushi & Rossi, Barbara, 2019. "The effects of conventional and unconventional monetary policy on exchange rates," Journal of International Economics, Elsevier, vol. 118(C), pages 419-447.
    3. Enders, Zeno & Hünnekes, Franziska & Müller, Gernot J., 2019. "Monetary policy announcements and expectations: Evidence from german firms," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 45-63.
    4. Christian Beer & Christian Alexander Belabed & Andreas Breitenfellner & Christian Ragacs & Beat Weber, 2017. "EU integration and its impact on Austria," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1/2017, pages 1-38.
    5. Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015. "The QE experience : Worth a try ?," Sciences Po publications info:hdl:2441/166ip2fse39, Sciences Po.
    6. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2014. "Signals from the Government: Policy Uncertainty and the Transmission of Fiscal Shocks," MPRA Paper 56136, University Library of Munich, Germany.
    7. Jérôme Creel & Paul Hubert & Mathilde Viennot, 2015. "The effect of ECB monetary policies on interest rates and volumes," Documents de Travail de l'OFCE 2015-26, Observatoire Francais des Conjonctures Economiques (OFCE).
    8. Carlo Altavilla & Domenico Giannone & Michele Lenza, 2016. "The Financial and Macroeconomic Effects of the OMT Announcements," International Journal of Central Banking, International Journal of Central Banking, vol. 12(3), pages 29-57, September.
    9. Ugo Panizza & Charles Wyplosz, 2018. "The Folk Theorem of Decreasing Effectiveness of Monetary Policy: What Do the Data Say?," Russian Journal of Money and Finance, Bank of Russia, vol. 77(1), pages 71-107, March.
    10. Motto, Roberto & Altavilla, Carlo & Carboni, Giacomo, 2015. "Asset purchase programmes and financial markets: lessons from the euro area," Working Paper Series 1864, European Central Bank.
    11. Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015. "Que peut-on attendre de l’assouplissement quantitatif de la BCE ?," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(2), pages 265-290.
    12. Arthur Korus, 2019. "Spillover Effects from the ECB's Unconventional Monetary Policies: The Case of Denmark, Norway and Sweden," Athens Journal of Business & Economics, Athens Institute for Education and Research (ATINER), vol. 5(1), pages 53-78, January.
    13. McQuade, Peter & Falagiarda, Matteo & Tirpák, Marcel, 2015. "Spillovers from the ECB's non-standard monetary policies on non-euro area EU countries: evidence from an event-study analysis," Working Paper Series 1869, European Central Bank.
    14. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2017. "Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 172-192.
    15. Christian Beer & Christian Alexander Belabed & Andreas Breitenfellner & Christian Ragacs & Beat Weber, 2017. "Österreich und die europäische Integration," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 86-126.
    16. repec:spo:wpmain:info:hdl:2441/7erap6chdi854b9ao9a3v1e9b9 is not listed on IDEAS
    17. Qadan, Mahmoud & Zoua’bi, Maher, 2019. "Financial attention and the demand for information," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 82(C).
    18. Zhou, Siwen, 2018. "Measuring the Signaling Effect of the ECB’s Asset Purchase Programme at the Effective Lower Bound," MPRA Paper 87084, University Library of Munich, Germany.
    19. Gang Wang, 2019. "The Effects of Quantitative Easing Announcements on the Mortgage Market: An Event Study Approach," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 7(1), pages 1-30, February.
    20. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur & Yiangou, Jonathan, 2019. "A tale of two decades: the ECB’s monetary policy at 20," Working Paper Series 2346, European Central Bank.
    21. Guido Bulligan & Davide Delle Monache, 2018. "Financial markets effects of ECB unconventional monetary policy announcements," Questioni di Economia e Finanza (Occasional Papers) 424, Bank of Italy, Economic Research and International Relations Area.

    More about this item

    Keywords

    forward guidance; large-scale asset purchases; tapering; Operation Twist; Survey of Professional Forecasters; quantitative easing;

    JEL classification:

    • E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes
    • 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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