How 'Unconventional' are Large-Scale Asset Purchases? The Impact of Monetary Policy on Asset Prices
How 'Unconventional' are Large-Scale Asset Purchases? The Impact of Monetary Policy on Asset Prices
复制标题
大规模资产购买有多“非常规”？
DOI：
10.2139/ssrn.2053640
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发表时间：
2012
期刊：
影响因子：
--
通讯作者：
Carlo Rosa
中科院分区：
文献类型：
--
作者：
Carlo Rosa
本文利用日内数据的事件研究，考察了大规模资产购买（LSAP）对美国资产价格（名义和通胀指数债券、股票和美元现货汇率）的影响。从英国《金融时报》的文章中可以看出，LSAP公告的意外成分。估计结果表明，即使在控制了美联储传统目标利率决定的意外成分和有关其未来政策路径的沟通之后，LSAP新闻对资产价格也具有经济上巨大且高度显著的影响。本研究证明，美联储LSAP计划对金融市场的累积影响相当于联邦基金目标利率的意外下调，其范围在0（3个月收益率）和197个基点（10年期收益率）之间，股票价格和外汇汇率的反应在这个区间内。然而，这些点的估计存在相当大的不确定性。通过观察跨资产反应，这项工作得出结论，对于大多数美国资产价格，资产购买的影响在统计上与联邦基金目标利率的意外下调没有什么不同。最后，英国资产价格（富时100指数成分股除外）对英国央行购买国债的反应，在数量上与美国资产价格对美联储购买国债的反应相似。
This paper examines the impact of large-scale asset purchases (LSAP) on U.S. asset prices (nominal and inflation-indexed bonds, stocks, and U.S. dollar spot exchange rates) using an event study with intraday data. The surprise component of LSAP announcements is identified from Financial Times articles. Estimation results show that the LSAP news has economically large and highly significant effects on asset prices, even after controlling for the surprise component of the Fed's conventional target rate decision and communication about its future path of policy. This study documents that the cumulative financial market impact of the Fed's LSAP program is equivalent to an unanticipated cut in the federal funds target rate that ranges between zero (for three-month yields) and 197 basis points (for ten-year yields), with the response of stock prices and foreign exchanges lying within this interval. These point estimates are, however, surrounded by considerable uncertainty. By looking at the cross-asset reactions, this work concludes that, for most U.S. asset prices, the effects of asset purchases are not statistically different from an unanticipated cut in the fed funds target rate. Finally, the response of U.K. asset prices (excepting FTSE 100 stocks) to the Bank of England's gilt purchases is quantitatively similar to the reaction of U.S. asset prices to the Fed's asset purchases.
影响因子：
5.8
作者：
Bandi, F. M.;Russell, J. R.
通讯作者：
Russell, J. R.