調查結果包括通過聯邦儲備委員會量化寬鬆措施期間的波動率的統計顯著衰減，為風險管理和政策制定者提供緊湊的方法，以衡量量化寬鬆措施產生的市場影響。除最廣泛商定的反映經濟健康的指標外，本研究還反映了整個量化寬鬆政策的最新市場觀察。
This descriptive study examines the impact of the U.S. Federal Open Market Committee (FOMC) non-standard monetary policy called Quantitative Easing (QE) on the two largest U.S. stock market indices. Following a narrative of leverage induced market volatility, this study argues for the inclusion of GJR GARCH for assessing the magnitude of LSAP activity upon markets as a barometer of impact. Modeling QE effects on volatility in equity markets, returns and volatility analysis of the U.S. stock indices from 1971 until the conclusion of the QE3 tail period was measured using GJR GARCH framework with QE indicators capturing asymmetric volatility from the conditional variance of the QEi dummy variable term.
The findings include statistically significant attenuation of volatility through periods of the Federal Reserve Board's QE measures, offering a compact approach for risk-management and policymakers alike to gauge market impact resulting from QE measures. This study reflects the latest market observations for the entire QE regime in addition to the most widely agreed upon indicators that reflect economic health.
