Bond Supply and Excess Bond Returns

By Robin Greenwood, Dimitri Vayanos. 2014

601 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d740d64ce15216e6a73f77d95ad99d75292c7070

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Citations in the corpus

Large-scale asset purchases by the Federal Reserve: did they work? (2010, neutral): “See Friedman (1981), Frankel (1985), Agell and Persson (1992), Kuttner (2006), and Greenwood and Vayanos (2010).”
The Impact of Recent Central Bank Asset Purchase Programmes (2011, neutral): “…the size of asset purchase programmes: for a $600 billion operation, the estimated impact on longer-term bond yields ranges from 14 basis points in Greenwood and Vayanos (2008) and 15 basis points in Krishnamurthy and Vissing-Jorgensen (2011) to 18 basis points in Gagnon et al (2011) for US asset…”
FLOW AND STOCK EFFECTS OF LARGE-SCALE TREASURY PURCHASES: EVIDENCE ON THE IMPORTANCE OF LOCAL SUPPLY (2012, neutral): “3 (2007), Garleanu, Pedersen, and Poteshman (2009), Vayanos and Vila (2009), and Greenwood and Vayanos (2010b), where arbitrageurs transmit demand shocks for one asset to other assets, with the effects being the largest for assets that covary the most with the original asset—that is, for close…”
Rollover Risk and Credit Risk (2012, neutral): “Greenwood and Vayanos (2008, 2009) provide some recent evidence on market segmentation in the government bond markets.”
Evaluating asset-market effects of unconventional monetary policy: a multi-country review (2014, neutral): “Models of market segmentation suggest that asset purchases should be particularly effective in lowering the prices of the assets being purchased when arbitrage capital is scarce and markets are not functioning normally (Vayanos and Vila, 2009; Greenwood and Vayanos, 2014). Multiple equilibria storie”
The Effects of Quantitative Easing on Interest Rates (2011, background): “Other papers in the literature that have examined Treasury supply and bond yields include Bernanke, Reinhart, and Sack (2004), Greenwood and Vayanos (2010), D’Amico and King (2010), Hamilton and Wu (2010), and Wright (2011). arvind krishnamurthy and annette vissing-jorgensen 217 involved.”
Capital Market-Driven Corporate Finance (2009, background): “The central bank and government can also influence credit conditions intentionally through open market operations or unintentionally through government debt issuance, as in Greenwood & Vayanos (2008) and Greenwood et al. (2008).”
Treasury inconvenience yields during the COVID-19 crisis (2020, positive): “We follow Greenwood and Vayanos (2014) by normalizing the aggregate bond supply for each tenor τ ∈ [ 0 , T ] to be zero.”