Lewis, Daniel;
(2019)
Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects.
(Federal Reserve Bank of New York Research Paper Series
891
).
Federal Reserve Bank of New York: New York, NY, USA.
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Abstract
I propose to identify announcement-specific decompositions of asset price changes into monetary policy shocks exploiting heteroskedasticity in intraday data, accommodating both changes in the nature of shocks and the state of the economy across announcements. I compute decompositions with respect to Fed Funds, forward guidance, asset purchase, and Fed information shocks from 1996 to 2019. The decompositions illustrate which announcements of unconventional policy measures had significant effects during the Great Recession. Overall, forward guidance and asset purchases have significant effects on yields, spreads, equities, and uncertainty, but the effects of monetary policy vary over time, particularly asset purchases.
| Type: | Report |
|---|---|
| Title: | Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects |
| DOI: | 10.2139/ssrn.3409980 |
| Publisher version: | https://www.newyorkfed.org/research/staff_reports/... |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | high-frequency identification, time-varying volatility, monetary policy shocks, forward guidance, quantitative easing |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL SLASH UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10160488 |
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