The Effects of Conventional and Unconventional Monetary Policy Surprises on Asset Markets in the United States

Unalmis, Deren and Unalmis, Ibrahim (2015): The Effects of Conventional and Unconventional Monetary Policy Surprises on Asset Markets in the United States.

Abstract

This study estimates the impacts of conventional and unconventional monetary policy surprises on asset markets in the United States using the heteroskedasticity-based GMM technique suggested by Rigobon and Sack (2004). Monetary policy surprises have statistically significant effects on major asset markets in both periods, yet magnitudes of responses differ notably in the unconventional period. For the unconventional period, the impacts of monetary policy surprises on stock returns and the implied volatilities in stock and bond markets are found to be lower compared to the conventional period. For most of the other asset returns however, responses are similar or higher in the unconventional period.

• Item Type: MPRA Paper
• Language: English
• Keywords: Monetary Policy; Asset Markets; Identification through Heteroscedasticity
• Subjects: E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy

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