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This paper examines the transmission mechanism through which unconventional monetary policy affects long-term interest rates. I construct a real-time measure summarizing market projections of the magnitude and duration of the Federal Reserve's Large Scale Asset Purchases (LSAP) program, and analyze the determination of term premiums and expectations of future short-term interest rates in a sample spanning more than two decades. Empirical findings suggest that the LSAP has effectively lowered the long-term Treasury bond yields, through both "signaling" and "portfolio balance" channels. On the other hand, the Fed's "forward guidance" also leads to gradual extension of market projections for the duration of the LSAP program, thereby enhancing the LSAP's effect to keep term premiums low. Estimation results also reveal a diminished effectiveness of the LSAP during QE III. Finally, model simulations underscore the importance of policy transparency in minimizing unnecessary market turbulence and ensuring a timely and smooth exit of the unconventional monetary policy stimulus.

Monetary policy. --- Interest rates. --- Money market rates --- Rate of interest --- Rates, Interest --- Interest --- Monetary management --- Economic policy --- Currency boards --- Money supply --- Banks and Banking --- Investments: Futures --- Money and Monetary Policy --- Interest Rates: Determination, Term Structure, and Effects --- Financial Markets and the Macroeconomy --- Monetary Policy --- Central Banks and Their Policies --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Finance --- Monetary economics --- Unconventional monetary policies --- Yield curve --- Short term interest rates --- Long term interest rates --- Futures --- Monetary policy --- Financial services --- Financial institutions --- Interest rates --- Derivative securities --- United States

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We study the effects of oil-price shocks on the U.S. economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, we classify them into various event types. We then develop measures of exogenous shocks that avoid endogeneity and predictability concerns. Estimation results indicate that oil-price shocks have had substantial and statistically significant effects during the last 25 years. In contrast, traditional VAR approaches imply much weaker and insignificant effects for the same period. This discrepancy stems from the inability of VARs to separate exogenous oil-supply shocks from endogenous oil-price fluctuations driven by changes in oil demand.

Petroleum products --- Petroleum industry and trade --- Energy industries --- Oil industries --- Mazut --- Petroleum --- Hydraulic fluids --- Prices --- Econometric models. --- Economic aspects --- Refining --- Investments: Energy --- Inflation --- Macroeconomics --- Industries: Energy --- Time-Series Models --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Diffusion Processes --- State Space Models --- Methodology for Collecting, Estimating, and Organizing Macroeconomic Data --- Data Access --- Price Level --- Deflation --- Business Fluctuations --- Cycles --- Energy and the Macroeconomy --- Energy: Demand and Supply --- Energy: General --- Macroeconomics: Production --- Investment & securities --- Petroleum, oil & gas industries --- Oil prices --- Oil --- Oil production --- Consumer price indexes --- Commodities --- Production --- Price indexes --- United States