The response of interest rates to U.S. and U.K. quantitative easing

By Jens H. E. Christensen, Glenn D. Rudebusch. 2012

409 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a5df89998af32a7afba747e7a6920244cb2aa1bd

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Citations in the corpus

A Preferred‐Habitat Model of the Term Structure of Interest Rates (2021, neutral): “4For empirical estimates of the effects of QE, see also Gagnon, Raskin, Remache, and Sack (2011), Joyce, Lasaosa, Stevens, and Tong (2011), Krishnamurthy and Vissing-Jorgensen (2011), Swanson (2011), Christensen and Rudebusch (2012), D’Amico and King (2013), Swanson and Williams (2014), and the surv”
Quantitative Easing and Unconventional Monetary Policy – an Introduction (2012, background): “…estimated dynamic term structure models to decompose the fall in yields into changes in expected future policy rates and changes in term premia, Christensen and Rudebusch (2012) also infer that the Fed’s LSAPs mainly worked through a signalling channel, although their results suggest the…”
Unconventional monetary policies: a re-appraisal (2018, background): “5) Christensen and Rudebusch (2012) Event study, affine no–arbitrage model of the term structure –4317a (47,–135,–12)”
International channels of the Fed’s unconventional monetary policy (2013, neutral): “These differences reflect a general problem in the DTSM literature: Small changes in specifications, each in itself statistically plausible, can lead to big differences in economic implications (Kim and Orphanides, (13)A unit root under Q, as assumed by the arbitrage-free Nelson-Siegel model of Chri”
Transmission of Quantitative Easing: The Role of Central Bank Reserves (2016, background): “While it is widely accepted that QE has helped reduce long-term interest rates (see, e.g., Gagnon et al. 2011 and Christensen and Rudebusch 2012 (henceforth CR)), the understanding of its transmission to long-term yields remains at best partial, theoretically as well as empirically, and has become…”
The Transmission of Monetary Policy through Bank Lending: The Floating Rate Channel (2017, neutral): “See also Gagnon et al. (2011), Joyce et al. (2011), Krishnamurthy and Vissing-Jorgensen (2011), Vayanos and Vila (2009), Hamilton and Wu (2011), Christensen and Rudebusch (2012), Swanson (2011), Li and Wei (2013), and D’Amico and King (2013).”
The Signaling Channel for Federal Reserve Bond Purchases (2013, neutral): “The inclusion of survey forecasts in the Kim-Wright estimates is motivated in part to address just this concern, but our evidence—and the more-detailed examination by Christensen and Rudebusch (2012)—suggests that the contribution of expectations to daily changes in long-term interest rates is still”
Monetary Policy Uncertainty and the Market Reaction to Macroeconomic News: Evidence from the Taper Tantrum (2016, neutral): “Similarly, Christensen and Rudebusch (2012) find that the QE announcements of the Federal Reserve and the Bank of England lead to a decline in the government bond yields. Wright (2012) finds that unconventional monetary policy has a significant effect on stock, bond and foreign exchange markets.”
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”
Non-monetary news in central bank communication (2018, methodology): “Based on yield curve decompositions, Christensen and Rudebusch (2012) assign a larger role to short-rate expectations as drivers of the long-term yield response for the US, but an important effect on term premia in case of the BOE’s QE program.”
What are the Macroeconomic Effects of Asset Purchases (2016, background): “There are several reasons why our results may differ from those of Christensen and Rudebusch (2012).”
Impact of the Asset Purchase Programme on euro area government bond yields using market news (2020, neutral): “Studies focusing on the UK government bond yields are Meier (2009), Joyce et al. (2011), Joyce and Tong (2012), Meaning and Zhu (2011), Breedon et al (2012), Christensen and Rudebusch (2012) and McLaren et al (2014).”