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The Financial Market Impact of Unconventional Monetary Policies in the U.S., the U.K., the Eurozone, and Japan

Author

Listed:
  • Kaoru Hosono

    (Professor Faculty of Economics, Gakushuin University)

  • Shogo Isobe

    (Researcher, Policy Research Institute)

Abstract

This paper investigates the impact of the unconventional policies implemented by the Federal Reserve, the Bank of England, the European Central Bank, and the Bank of Japan on the returns on a broad class of assets in a comprehensive and consistent manner. Controlling for market expectations, we find that for most economies and periods, policies had the effect of lowering long-term government bond yields and the exchange rate of the home currency; for some economies and periods we also find an impact on corporate bond spreads, interbank loan spreads, and stock prices. We further find that policy announcements that were accompanied by forward guidance tended to have a more significant and greater impact on a broad range of assets than policy announcements without forward guidance.

Suggested Citation

  • Kaoru Hosono & Shogo Isobe, "undated". "The Financial Market Impact of Unconventional Monetary Policies in the U.S., the U.K., the Eurozone, and Japan," Discussion papers ron259, Policy Research Institute, Ministry of Finance Japan.
  • Handle: RePEc:mof:wpaper:ron259
    as

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    File URL: http://www.mof.go.jp/pri/research/discussion_paper/ron259.pdf
    File Function: First version, 2014
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    References listed on IDEAS

    as
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    Cited by:

    1. Haitsma, Reinder & Unalmis, Deren & de Haan, Jakob, 2016. "The impact of the ECB's conventional and unconventional monetary policies on stock markets," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 101-116.

    More about this item

    Keywords

    Unconventional monetary policies; Event study; Announcement;

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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