Author(s) :

Prof. Silvia Trifonova, PhD, Svilen Kolev, PhD.

Volume/Issue :

Abstract :

The paper is devoted to the unconventional monetary policy measures, implemented by the US Federal Reserve after the Global Financial Crisis. The objective of the study is to conduct an empirical analysis and econometric study on the effects from the US Fed non-standard monetary policy measures on the US financial market, namely by observing the reaction on the US 10-year government bond yield, the US stock market via the S&P 500 index and the exchange rate of the US dollar versus the euro (EUR/USD). The examination of the monetary policy transmission through the interest rate, the exchange rate and the portfolio balance channel is one of the main tasks of the paper. The research and the econometric analysis are dedicated to the empirical study on the dynamics and the relations between the Fed’s quantitative easing and changes in the US federal funds rate. The observed period spreads from January 2009 to March 2019, with the use of monthly data. It captures the Fed’s unconventional monetary policy measures, the first steps of the then planned gradual termination of QE and lifting of the interest rates, which was reverted in the course of 2019 and 2020. The results from the constructed vector error correction model suggest that Fed’s monetary policy stance continues to influence the changes of the bond yields, the S&P 500 index and the value of the US dollar. Conclusions and proposals are made, regarding the future interest rates path in the US under the Fed’s monetary policy.

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