In this work, I use data for the US at both quarterly and monthly frequencies and estimate a Bayesian Structural Vector Autoregression (B-SVAR) to assess the macroeconomic impact and the wealth effects of unconventional monetary policy. I show that neither a positive shock to the interest rate spread, nor a positive shock to the central bank s reserves significantly affect the output and the aggregate price level. However, both shocks give a strong boost to asset prices, which is temporary in the case of stock prices and gradual and persistent in the case of housing prices. Thus, the main channel via which unconventional monetary policy operates is through wealth re- allocation: by expanding the size of its balance sheet and purchasing troubled assets, the central bank releases money that economic agents use to increase their exposure to risk by investing in real estate, stocks and long-term debt. Finally, I account for the three rounds of quantitative easing put in place by the Federal Reserve. I show that, if anything, the magnitude and the persistence of the effects are lower in the case of QE2 and QE3.