The Signaling Channel for Federal Reserve Bond Purchases

By M. Bauer, Glenn D. Rudebusch. 2013

475 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4aa630eaa780ae98cc4ff34b240f6d179e1ebba4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Roberto Motto
2. Giacomo Carboni
3. Tomasz Wieladek
4. Martin Weale
5. Carlo Altavilla
6. Jens H. E. Christensen
7. C. Borio
8. Anna Zabai

In Finance

1. Jens H. E. Christensen
2. Glenn D. Rudebusch
3. Carlo Altavilla
4. Roberto Motto
5. Tomasz Wieladek
6. Martin Weale
7. Giacomo Carboni
8. Anna Zabai

Citations in the corpus

• Spillovers from United States Monetary Policy on Emerging Markets: Different this Time? (2014, unknown): “3 See works of Bauer and Rudebusch (2014), Bauer and Neely (2013), and Rudebusch and Christensen (2013), among others.”
• Decomposing real and nominal yield curves (2016, unknown): “In contrast, our results do not support the “signaling channel” of the purchase programs that has been emphasized by Bauer and Rudebusch (2014). In addition, our results suggest that the purchase programs primarily reduced the pricing of real-interest rate risk.”
• Asset Purchase Programmes and Financial Markets: Lessons from the Euro Area (2015, background): “…defined as EtR P (t,t+1) − 1 2 σV artR P (t,t+1) (1) 11See, for instance, for the US Krishnamurthy and Vissing-Jorgensen (2013), Gagnon et al. (2011), Christensen and Rudebusch (2012), Cahill et al. (2013), Bauer and Rudebusch (2014); and for the UK Joyce and Tong (2012) and McLaren et al. (2014).”
• Central bank announcements of asset purchases and the impact on global financial and commodity markets (2012, background): “Bauer and Rudebusch (2011) suggest that the signaling channel is equally important after controlling for term premia effects they derive from estimates of dynamic term structure models.”
• Effects of US quantitative easing on emerging market economies (2015, unknown): “2008m1 2010m1 2012m1 2014m1 Date Notes: [1] Sep 2008 Lehman Brothers [2]-[4] Nov, Dec 2008 and Mar 2009, QE1 [5] Nov 2010, QE2 [6] Sep 2011, MEP [7]-[8] Sep, Dec 2012, QE3 [9] May 2013, Taper scare 9 0 9 5 1 0 0 1 0 5 1 1 0”
• What are the Macroeconomic Effects of Asset Purchases (2016, methodology): “…GDP and CPI are similar to studies that identify unconventional monetary policy as a compression in the spread between the long and the short rate (Baumeister and Benati, 2013; Kapetanios et al, 2012), with one notable exception: for the UK, the CPI response is almost three times larger than…”
• Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme (2016, background): “Above we mentioned four channels through which the ECB’s SMP could in principle have affected bond yields: (i) the ‘classical’ signaling channel, which signals future low monetary policy rates (Christensen and Rudebusch, 2012; Bauer and Rudebusch, 2014), (ii) signaling that affects a country’s defau”
• International channels of the Fed’s unconventional monetary policy (2013, unknown): “Christensen and Rudebusch (2012) confirm the importance of portfolio balance effects on domestic government yields.”
• The response of interest rates to U.S. and U.K. quantitative easing (2012, methodology): “Similarly, Bauer and Rudebusch (2011), using a bias-corrected estimate of the term premium, report that about 50% of the 10-year yield change is accounted for by changes in the expectations component.”