Let’s Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2

By Eric T. Swanson. 2011

407 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/84ddb5483488cf9bad52594c20ab95c7848f9899

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Citations in the corpus

The Signaling Channel for Federal Reserve Bond Purchases (2013, unknown): “On the issue of the surprise component of monetary policy announcements during the recent LSAP, period see Wright (2011) and Rosa (2012).”
Measuring the effects of federal reserve forward guidance and asset purchases on financial markets (2020, unknown): “This estimate is somewhat larger than in Krishnamurthy and Vissing-Jorgensen (2011 , 2013 , henceforth KVJ)) and Swanson (2011) , who estimate a decline in corporate yields of about 4–5bp per $600 billion LSAP announcement, while the estimates in Table 6 are about 14bp for the same size operation…”
Large-scale asset purchases by the Federal Reserve: did they work? (2010, unknown): “D’Amico and King (2010), Hamilton and Wu (2010), Krishnamurthy and VissingJorgensen (forthcoming), Neely (2010), and Swanson (2011) all find evidence that LSAPs do indeed reduce longer term interest rates.”
Assessing the Economy-Wide Effects of Quantitative Easing (2012, unknown): “Portfolio balance models as described by Tobin (1969), among others, were used by Joyce et al.”
Quantitative Easing and Unconventional Monetary Policy – an Introduction (2012, methodology): “Swanson (2011) even found that using modern event study techniques, the Operation Twist episode in the US in 1961 when the Federal Reserve also purchased a large quantity of Treasuries led to similarly sized announcement effects on Treasury yields as LSAP2.”
An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies (2020, unknown): “Furthermore, we consider only the impact of initial QE announcements (similar to Vissing-Jorgensen and Krishnamurthy (2011) and Swanson (2011)), which are more likely to be a surprise.”
The Financial Market Impact of UK Quantitative Easing (2012, background): “Modigliani and Sutch (1966) found that this operation had no significant effect on bond yields, though more recent work by Swanson (2011) has found that this operation had some significant market impact.2 More recently, the QE programme implemented by the Bank of Japan from 2001 to 2006 generated…”
The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment (2011, unknown): “…referees, and seminar and conference participants at the University of Chicago, Michigan State University, UCSD, Bank of Canada, ECB, the Federal Reserve Board, and Federal Reserve Banks of Boston, Chicago, New York, and San Francisco for helpful comments on earlier versions of this paper.”
Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events (2011, methodology): “…effect on the term premium embedded in 10- year Treasury yields, denoted by t, is given by: 15 Another estimate based on pre-crisis data comes from Swanson (2011), who uses an event study to reexamine the effects of “Operation Twist”, the attempt by the U.S. government in the early 1960s to…”
Unconventional monetary policies: a re-appraisal (2018, background): “…Treasuries MEP – $667 billion long-term Treasuries purchased; $667 billion short-term 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…”