The Federal Reserve's Large‐Scale Asset Purchase Programmes: Rationale and Effects
By Stefania D’Amico, William B English, D. López-Salido, Edward Nelson. 2012
390 citations recorded by the source corpus.
We provide empirical estimates of the effect of large‐scale asset purchases (LSAPs) on longer term US Treasury yields within a framework that allows for several transmission channels including the scarcity channel associated with the preferred‐habitat literature and the duration channel associated with interest‐rate risk. We also clarify LSAPs’ role in the broader context of historical monetary policy strategy. Results indicate that LSAP‐style operations mainly impact longer term rates via the nominal term premium; within that premium, the response is predominantly embodied in the real term premium. The scarcity and duration channels both seem to be of considerable importance.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/72888b6c5693270eb6dbbe054ef60c5e1588bce5
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Citations in the corpus
- Asset Purchase Programmes and Financial Markets: Lessons from the Euro Area (2015, neutral): “Then we verify the conjectured solution (5) by using equations (6), (7), (8), (12), and (10), where in the latter we substitute out for y t using (5).”
- A Comparative-Advantage Approach to Government Debt Maturity (2010, neutral): “(2011), Krishnamurthy and Vissing-Jorgensen (2011, 2013b), D’Amico et al. (2012), Woodford (2012), and Li and Wei (2013). 7 Money market investors may derive special value from holding short-term safe claims because of their use in backing demand deposits (Bansal and Coleman (1996)), their use in co”
- Unconventional monetary policies: a re-appraisal (2018, background): “…Treasuries sold Krishnamurthy and Vissing-Jorgensen (2011) Event study –3010a –810b Swanson (2011) Event study –1611a Hamilton et al (2012) Time series regression –2212a D’Amico et al (2012) Time series regression –4513a (78,22) All programmes (includes QE3, $823 billion MBS; $790 billion…”