Open AccessDOI
Quantitative Easingand U.S. Financial Asset Returns
Joanne Guo
- Vol. 2, Iss: 3, pp 76-105
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TLDR
A comprehensive study of the unconventional monetary policy taken by the Federal Reserve since the financial crisis of 2008, specifically on the purchases of different assets by the Fed to change medium and long-term rates is presented in this article.Abstract:
. This paper is a comprehensive study of the unconventional monetary policy taken by the Federal Reserve since the financial crisis of 2008, specifically on the purchases of different assets by the Fed to change medium and long-term rates. Included in this study are the three rounds of quantitative easing, and the two rounds of Operation Twist. A study as such is needed in order to examine if the Fed’s purchases of these various long-term assets had any effect on the financial markets in the longer term perspective since the first announcement of the first round of purchase in November 2008. While there exists a variety of literature on the effects of quantitative easing on Treasuries and mortgage backed securities, there is no single study comprising of all the large scale asset purchases by the Fed, covering their effects on all major financial assets. This study is an attempt to fill this void in current literature on quantitative easing. Keywords. Unconventional Monetary Policy, Quantitative Easing, the Federal Reserve. JEL. E52, E58, G14.read more
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Capital Flow Waves: Surges, Stops, Flights and Retranchment
TL;DR: This article analyzed the drivers of international waves in capital flows and found that global factors, especially global risk, are the most important determinants of these episodes, while domestic macroeconomic characteristics are generally less important, although changes in domestic economic growth influence episodes caused by foreigners.
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Capital Flow Waves: Surges, Stops, Flight, and Retrenchment
TL;DR: In this article, the authors developed a new methodology for identifying episodes of extreme capital flow movements using data that differentiates activity by foreigners and domestics, and identified episodes of "surges" and "stops" (sharp increases and decreases, respectively, of gross inflows) and "flight", "retrenchment", and "outflow".
Book
The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases
TL;DR: In order to further ease the stance of monetary policy as the economic outlook deteriorated, the Federal Reserve purchased substan tial quantities of assets with medium and long maturities as discussed by the authors.
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The Event Study Methodology Since 1969
TL;DR: In this article, the authors discuss the event study methodology, including hypothesis testing, the use of different benchmarks for the normal rate of return, the power of the methodology in different applications and the modeling of abnormal returns as coefficients in a (multivariate) regression framework.
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The Event Study Methodology Since 1969
TL;DR: This paper discusses the event study methodology, beginning with FFJR (1969), including hypothesis testing, the use of different benchmarks for the normal rate of return, the power of the methodology in different applications and the modeling of abnormal returns as coefficients in a (multivariate) regression framework.