The DOI matches its Crossref record; 37 of the 37 references it cites were found in a registry or an index.
The Signaling Channel for Federal Reserve Bond Purchases
Open accessAbstract
Previous research has emphasized the portfolio balance effects of Federal Reserve bond purchases, in which a reduced bond supply lowers term premia. In contrast, we find that such purchases have important signaling effects that lower expected future short-term interest rates. Our evidence comes from a model-free analysis and from dynamic term structure models that decompose declines in yields following Fed announcements into changes in risk premia and expected short rates. To overcome problems in measuring term premia, we consider bias-corrected model estimation and restricted risk price estimation. In comparison with other studies, our estimates of signaling effects are larger in magnitude and statistical significance.
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Cites
Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
Cowles, M. K., & Carlin, B. P. (1996) · Journal of the American Statistical Association · doi:10.1080/01621459.1996.10476956 · Cited by 2,056
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
Bayesian Model Choice Via Markov Chain Monte Carlo Methods
Carlin, B. P., & Chib, S. (1995) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.2517-6161.1995.tb02042.x · Cited by 989
Small-sample Confidence Intervals for Impulse Response Functions
Kilian, L. (1998) · Review of Economics and Statistics · doi:10.1162/003465398557465 · Cited by 917
A Preferred-Habitat Model of the Term Structure of Interest Rates
Vayanos, D., & Vila, J.-L. (2009) · Econometrica · doi:10.3386/w15487 · Cited by 735
The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment
HAMILTON, J. D., & WU, J. C. (2012) · Journal of Money, Credit and Banking · doi:10.1111/j.1538-4616.2011.00477.x · Cited by 671
Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply
D’Amico, S., & King, T. B. (2013) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.11.007 · Cited by 654
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
JOSLIN, S., PRIEBSCH, M., & SINGLETON, K. J. (2014) · The Journal of Finance · doi:10.1111/jofi.12131 · Cited by 585
A New Perspective on Gaussian Dynamic Term Structure Models
Joslin, S., Singleton, K. J., & Zhu, H. (2011) · Review of Financial Studies · doi:10.1093/rfs/hhq128 · Cited by 543
What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?
Wright, J. H. (2012) · The Economic Journal · doi:10.1111/j.1468-0297.2012.02556.x · Cited by 527
Cited by
Measuring the macroeconomic impact of monetary policy at the zero lower bound
WU, J. C., & XIA, F. D. (2016) · Journal of Money, Credit and Banking · doi:10.1111/jmcb.12300 · Cited by 1,842
Measuring the effects of federal reserve forward guidance and asset purchases on financial markets
Swanson, E. T. (2021) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2020.09.003 · Cited by 600
Metadata
- Authors
- Francisco, F. R. B. O. S., Bauer, M. D., Rudebusch, G. D., & Francisco, F. R. B. O. S.
- Venue
- Federal Reserve Bank of San Francisco, Working Paper Series
- Published
- 2013-04-01
- Pages
- 1-48
- OpenAlex
- W3125249465
- Cited by
- 303
- References
- 37
- FWCI
- 75.56
- Type
- journal article
- Language
- en
- Open access
- bronze
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