Unconventional Monetary Policy and International Risk Premia

Journal of Money, Credit and Banking - Tập 50 Số 8 - Trang 1827-1850 - 2018
John H. Rogers1, Chiara Scotti1, Jonathan H. Wright2
1Board of Governors of the Federal Reserve System
2 Johns Hopkins University - Department of Economics

Tóm tắt

AbstractWe assess the relationship between monetary policy, foreign exchange risk premia, and term premia including the period at the zero lower bound (ZLB). We estimate a structural vector autoregression including U.S. and foreign interest rates and exchange rates and identify monetary policy shocks through a method that uses high‐frequency monetary policy surprises as the external instrument that achieves identification without using implausible restrictions. We split out effects of different types of monetary policy surprises that apply at the ZLB, including forward guidance and asset purchases. This allows us to measure the effects of policy shocks on expectations, and hence risk premia.

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Thông tin xuất bản

Journal of Money, Credit and Banking

Tập 50 Số 8

1827-1850

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