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We show that a positive shock to the growth rate of central bank reserves does not have a substantial impact on industrial production or consumer prices. However, it also gives a strong boost to asset prices, which is larger in magnitude for stock prices than for housing prices. Thus, unconventional monetary policy typically operates via portfolio-rebalancing effects. A VAR counterfactual exercise confirms the role of the shocks to the growth rate of central bank reserves in explaining the dynamics of the variables included in the system, especially in the case of asset prices. Finally, additional empirical assessments uncover an important change in the conduct of monetary policy from \u201cstandard\u201d to \u201cexceptional\u201d times and the suitability of our model to capture such a structural transformation.<\/jats:p>","DOI":"10.1017\/s1365100515000292","type":"journal-article","created":{"date-parts":[[2016,10,18]],"date-time":"2016-10-18T10:28:26Z","timestamp":1476786506000},"page":"1189-1204","source":"Crossref","is-referenced-by-count":31,"title":["ON THE MACROECONOMIC AND WEALTH EFFECTS OF UNCONVENTIONAL MONETARY POLICY"],"prefix":"10.1017","volume":"21","author":[{"given":"Fredj","family":"Jawadi","sequence":"first","affiliation":[]},{"given":"Ricardo M.","family":"Sousa","sequence":"additional","affiliation":[]},{"given":"Raffaella","family":"Traverso","sequence":"additional","affiliation":[]}],"member":"56","published-online":{"date-parts":[[2016,10,18]]},"reference":[{"key":"S1365100515000292_ref35","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-8586.2011.00431.x"},{"key":"S1365100515000292_ref37","first-page":"1","article-title":"Searching for the effects of unconventional monetary policy: The case of the Bank of Japan","volume":"2","author":"Takeda","year":"2014","journal-title":"Japanese Journal of Monetary and Financial Economics"},{"key":"S1365100515000292_ref23","doi-asserted-by":"publisher","DOI":"10.1017\/S1365100510000891"},{"key":"S1365100515000292_ref31","first-page":"241","article-title":"Macroeconomic implications of changes in the term premium","volume":"89","author":"Rudebusch","year":"2007","journal-title":"Federal Reserve Bank of St. Louis Review"},{"key":"S1365100515000292_ref33","doi-asserted-by":"publisher","DOI":"10.1016\/j.najef.2009.11.006"},{"key":"S1365100515000292_ref25","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0297.2012.02555.x"},{"key":"S1365100515000292_ref16","doi-asserted-by":"crossref","unstructured":"Del Negro M. , G. 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