@techreport{Rosa2012unconventional, abstract = {This paper
examines the impact of large-scale asset purchases (LSAP) on
U.S. asset prices (nominal and inflation-indexed bonds, stocks,
and U.S. dollar spot exchange rates) using an event study with
intraday data. The surprise component of LSAP announcements is
identified from Financial Times articles. Estimation results
show that the LSAP news has economically large and highly
significant effects on asset prices, even after controlling for
the surprise component of the Fed's conventional target rate
decision and communication about its future path of policy. This
study documents that the cumulative financial market impact of
the Fed's LSAP program is equivalent to an unanticipated cut in
the federal funds target rate that ranges between zero (for
three-month yields) and 197 basis points (for ten-year yields),
with the response of stock prices and foreign exchanges lying
within this interval. These point estimates are, however,
surrounded by considerable uncerta