In response to the COVID-19 pandemic, the US Federal Reserve almost doubled its balance sheet by adding $3 trillion of assets (13% of GDP) in the space of three months, constituting the most aggressive unconventional monetary policy on record. We show that these actions had a substantial effect...

We develop a model of monetary exchange in over-the-counter markets to study the effects of monetary policy on asset prices and standard measures of financial liquidity, such as bid-ask spreads, trade volume, and the incentives of dealers to supply immediacy, both by participating in the...

This study examines the impacts of unconventional monetary policy on the exchange rate, stock market, and bond market during the COVID-19 economic crisis in an emerging economy. It focuses particularly on the asset purchase program conducted by the Central Bank of India. The Central Bank...

This paper examines the response of US stock returns to Federal Funds rate (FFR) surprises between 1989 and 2012, focusing on the impact of the recent financial crisis. We find that outside the crisis period, stock prices increased as a response to unexpected FFR cuts. State dependence is...

This paper proposes a way to study the transmission mechanism of the US monetary policy to foreign yield curves. It elaborates the high-frequency identification of monetary policy shocks from (Piazzesi, 2005) in an international setting. The shocks are extracted from a two-country term structure...

This paper examines whether monetary policy reaction function matters for financial stability. We measure how responsive the Federal Reserve's policy appears to be to imbalances in the equity, housing and credit markets. We find that changes in these policy sensitivities predict the later...

This paper studies the transmission mechanism of the post-crisis interest rate policy. In particular, we are interested in explaining an upward regime shift in the spreads between interest on reserves (IOR) and overnight funding rates in Jan 2018. While traditional theories would understand such...

This paper proposes a way to study the transmission mechanism of the US monetary policy to foreign yield curves. It elaborates the high-frequency identification of monetary policy shocks from (Piazzesi, 2005) in an international setting. The shocks are extracted from a two-country term structure...

This paper investigates whether central banks can attenuate excessive mispricing in stocks as suggested by the proponents of a \leaning against the wind" (LATW) monetary policy. For this, we decompose stock prices into a fundamental component, a risk premium, and a mispricing component. We argue...