The DOI matches its Crossref record; 22 of the 22 references it cites were found in a registry or an index.
The Response of Interest Rates to US and UK Quantitative Easing
Abstract
We analyse declines in government bond yields following announcements by the Federal Reserve and the Bank of England of plans to buy longer term debt. Using dynamic term structure models, we decompose US and UK yields into expectations about future short‐term interest rates and term premiums. We find that declines in US yields mainly reflected lower expectations of future short‐term interest rates, while declines in UK yields appeared to reflect reduced term premiums. Thus, the relative importance of the signalling and portfolio balance channels of quantitative easing may depend on market institutional structures and central bank communication policies.
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Cites
Forecasting, Structural Time Series Models and the Kalman Filter
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Forecasting, Structural Time Series Models and the Kalman Filter
Harvey, A. C. (1990) · doi:10.1017/cbo9781107049994 · Cited by 4,195
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A YIELD‐FACTOR MODEL OF INTEREST RATES
Duffie, D., & Kan, R. (1996) · Mathematical Finance · doi:10.1111/j.1467-9965.1996.tb00123.x · Cited by 2,491
Specification Analysis of Affine Term Structure Models
Dai, Q., & Singleton, K. J. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00278 · Cited by 1,816
Forecasting the Term Structure of Government Bond Yields
Diebold, F. X., & Li, C. (2003) · Journal of Econometrics · doi:10.1016/j.jeconom.2005.03.005 · Cited by 1,781
Term Premia and Interest Rate Forecasts in Affine Models
Duffee, G. R. (2002) · The Journal of Finance · doi:10.1111/1540-6261.00426 · Cited by 1,577
The U.S. Treasury yield curve: 1961 to the present
Gürkaynak, R. S., Sack, B., & Wright, J. H. (2007) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2007.06.029 · Cited by 1,331
The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy
Krishnamurthy, A., & Vissing-Jorgensen, A. (2011) · Brookings Papers on Economic Activity · doi:10.1353/eca.2011.0019 · Cited by 1,188
The macroeconomy and the yield curve: a dynamic latent factor approach
Diebold, F. X., Rudebusch, G. D., & Boragˇan Aruoba, S. (2006) · Journal of Econometrics · doi:10.1016/j.jeconom.2005.01.011 · Cited by 966
Self-citation
Cited by
Quantitative Easing and Unconventional Monetary Policy – an Introduction
Joyce, M., Miles, D., Scott, A., & Vayanos, D. (2012) · The Economic Journal · doi:10.1111/j.1468-0297.2012.02551.x · Cited by 422
Eser, F., & Schwaab, B. (2016) · Journal of Financial Economics · doi:10.1016/j.jfineco.2015.06.003 · Cited by 315
The Signaling Channel for Federal Reserve Bond Purchases
Francisco, F. R. B. O. S., Bauer, M. D., Rudebusch, G. D., & Francisco, F. R. B. O. S. (2013) · Federal Reserve Bank of San Francisco, Working Paper Series · doi:10.24148/wp2011-21 · Cited by 303
Self-citationWhat are the macroeconomic effects of asset purchases?
Weale, M., & Wieladek, T. (2016) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2016.03.010 · Cited by 264
Metadata
- Authors
- Christensen, J. H. E., & Rudebusch, G. D.
- Venue
- The Economic Journal
- Publisher
- Oxford University Press (OUP)
- Published
- 2012-10-29
- Volume
- 122
- Issue
- 564
- Pages
- F385-F414
- ISSN
- 0013-0133 (ISSN-L)
- 1468-0297
- OpenAlex
- W1663622626
- Cited by
- 340
- References
- 22
- FWCI
- 57.12
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
