The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment

By James D. Hamilton, J. Wu. 2011

689 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8ea4b64c321eb0cb115e8888e87b3e37520eb2e0

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Citations in the corpus

Flow and stock effects of large-scale Treasury purchases (2010, unknown): “…time series analysis to examine the extent to which various yields track levels and forecasts of government debt/GDP ratios.12 A recent paper by Hamilton and Wu (2010) uses a variant of the Vayanos-Vila model to explicitly relate estimates of an affine term-structure model to measures of…”
The Effects of Quantitative Easing on Interest Rates (2011, methodology): “The principal contribution of our work relative to other research on QE in the United States (D’Amico and King 2010, Gagnon and others 2010, and Hamilton and Wu 2010) is that by analyzing the differential impact of QE on a host of interest rates and derivatives, we shed light on the channels…”
Local Currency Sovereign Risk (2013, unknown): “The model builds on the preferred habitat framework presented in Vayanos and Vila (2009), Greenwood and Vayanos (2010) and Hamilton and Wu (2012), and surveyed in Gromb and Vayanos (2010).”
A Preferred‐Habitat Model of the Term Structure of Interest Rates (2021, unknown): “Our model formalizes the preferred-habitat theory of the term structure, proposed by Culbertson (1957) and Modigliani and Sutch (1966). Related to preferred habitat is Tobin’s (1958,1969) portfolio-balance theory, in which financial assets are imperfect substitutes, and investors require a rise in i”
The effectiveness of unconventional monetary policy at the zero lower bound : a cross-country analysis (2014, background): “…Christensen, Lopez, and Rudebusch 2009, Taylor and Williams 2009, Thornton 2010) and on the effects of subsequent large-scale asset purchases on long-term interest rates and other asset prices (e.g., D’Amico and King 2010, Gagnon et al. 2010, Hamilton and Wu 2010, Neely 2010, Joyce et al. 2011).”
Asset Purchase Programmes and Financial Markets: Lessons from the Euro Area (2015, methodology): “…: N n=1 ω (n) t = 1 (B.3) where Et[R P (t,t+1)] ≈ N n=1 ω (n) t [(−an−1 − (bn−1 + γ )(μ+ ΦXt) + 1 2 (bn−1 + γ )ΣΣ (bn−1 + γ) + an + bnXt]) V art[R P (t,t+1)] ≈ N n=1 (ω (n) t (bn−1 + γ )ΣΣ N n=1 (ω (n) t (bn−1 + γ)) where the derivation of the latter equations follows Hamilton and Wu (2012).”
The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases * (2012, background): “See, for example, Modigliani and Sutch (1967). The current program differs from Operation Twist in that the reduction in long-term bonds is financed by reserve creation rather than sales of short-term Treasury bills.”
FLOW AND STOCK EFFECTS OF LARGE-SCALE TREASURY PURCHASES: EVIDENCE ON THE IMPORTANCE OF LOCAL SUPPLY (2012, unknown): “…a growing literature studying the relationship between Treasury prices and quantities, including Bernanke, Reinhart, and Sack (2004), Engen and Hubbard (2005), Han, Longstaff, Merrill (2007), Krishnamurthy and Vissing-Jorgensen (2008), Greenwood and Vayanos (2010a, b), and Hamilton and Wu (2010).”
QE 1 vs. 2 vs. 3. . . : A Framework for Analyzing Large-Scale Asset Purchases as a Monetary Policy Tool (2013, unknown): “( − ) ≤  + +∆[ − ( −)] (25) with  and  given by (23).”