leads to a significantly smaller increase in long-term bond yields if policy uncertainty is high at the time of the shock … are robust to the measurement of monetary policy uncertainty and the definition of the monetary policy shock. We argue … policy uncertainty leads to opposite effects with term premia increasing even more after a policy shock. …

variables. An expansionary Euro area monetary policy shock raises production in most non-Euro area countries. Somewhat larger …

Bayesian VAR on monthly US macroeconomic and financial data, we first identify the US QE shock. The identified US QE shock is … expansionary US QE shock has significant effects on financial variables in EMEs. It leads to an exchange rate appreciation, a …