The DOI matches its Crossref record; 11 of the 11 references it cites were found in a registry or an index.
The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy
Open accessAbstract
We evaluate the effect of the Federal Reserve's purchase of long-term Treasuries and other long-term bonds ("QE1" in 2008-2009 and "QE2" in 2010-2011) on interest rates.Using an event-study methodology we reach two main conclusions.First, it is inappropriate to focus only on Treasury rates as a policy target because QE works through several channels that affect particular assets differently.We find evidence for a signaling channel, a unique demand for long-term safe assets, and an inflation channel for both QE1 and QE2, and an MBS pre-payment channel and a corporate bond default risk channel for QE1.Second, effects on particular assets depend critically on which assets are purchased.The event-study suggests that (a) mortgage-backed securities purchases in QE1 were crucial for lowering mortgage-backed security yields as well as corporate credit risk and thus corporate yields for QE1, and (b) Treasuries-only purchases in QE2 had a disproportionate effect on Treasuries and Agencies relative to mortgage-backed securities and corporates, with yields on the latter falling primarily through the market's anticipation of lower future federal funds rates.
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Cites
The Aggregate Demand for Treasury Debt
Krishnamurthy, A., & Vissing-Jorgensen, A. (2012) · Journal of Political Economy · doi:10.1086/666526 · Cited by 1,558
Self-citationA 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
Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment
Bernanke, B., Reinhart, V., & Sack, B. (2004) · Brookings Papers on Economic Activity · doi:10.1353/eca.2005.0002 · Cited by 656
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
Large-Scale Asset Purchases by the Federal Reserve: Did They Work?
Gagnon, J. E., Raskin, M., Remache, J., & Sack, B. P. (2010) · SSRN Electronic Journal · doi:10.2139/ssrn.1576596 · Cited by 304
Monetary Policy When the Nominal Short-Term Interest Rate is Zero
Clouse, J. A., Henderson, D. W., Athanasios Orphanides, A., Small, D. H., & Tinsley, P. A. (2003) · Topics in Macroeconomics · doi:10.2202/1534-5998.1088 · Cited by 240
He, Z., & Krishnamurthy, A. (2008) · National Bureau of Economic Research · doi:10.3386/w14517 · Cited by 162
Self-citationFuster, A., & Willen, P. (2010) · SSRN Electronic Journal · doi:10.2139/ssrn.1692760 · Cited by 81
Monetary Policy When the Nominal Short-Term Interest Rate is Zero
Clouse, J. A., Henderson, D. W., Athanasios Orphanides, A., Small, D. H., & Tinsley, P. A. (2000) · Finance and Economics Discussion Series · doi:10.17016/feds.2000.51 · Cited by 51
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Measuring the effects of federal reserve forward guidance and asset purchases on financial markets
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Bond Supply and Excess Bond Returns
Greenwood, R., & Vayanos, D. (2014) · Review of Financial Studies · doi:10.1093/rfs/hht133 · Cited by 517
Threats to central bank independence: High-frequency identification with twitter
Bianchi, F., Gómez-Cram, R., Kind, T., & Kung, H. (2023) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2023.01.001 · Cited by 89
Metadata
- Authors
- Krishnamurthy, A., & Vissing-Jorgensen, A.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 2011-10
- OpenAlex
- W3121618176
- Cited by
- 412
- References
- 11
- Type
- report
- Language
- en
- Open access
- green
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