| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9145 |
| DP9145 The Federal Reserve?s Large-Scale Asset Purchase Programs: Rationale and Effects | |
| J David López-Salido; Edward Nelson | |
| 发表日期 | 2012-09-23 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We provide empirical estimates of the effect of large-scale asset purchase (LSAP)-style operations on longer-term U.S. Treasury yields within a framework that nests the alternative theoretical perspectives on LSAPs. As the principal channels through which LSAPs migh tmatter for longer-term interest rates, we concentrate on (i) the scarcity (available local supply) channel associated with the traditional preferred habitat literature, and (ii) the duration channel associated with the general notion of interest rate risk. Wealso clarify LSAPs? role in the broader context of monetary policy strategy, bringing out the connections between purchases of longer-term assets and historical Federal Reserve policy approaches. Our results indicate that the impact of LSAP-style operations on longer-term interest rates is mainly felt on the nominal term-premium component; moreover, within the nominal term premium, it is the real term premium that experiences the greatest response. The estimates suggest that the scarcity and duration channels have both been of considerable importance for the transmission of purchases to longer-term Treasury yields. Finally, by isolating the degree to which scarcity and duration impinge on term premiums, our estimates indicate the direction in which macroeconomic models should develop in order to encompass the transmission channels associated with LSAPs. |
| 主题 | International Macroeconomics |
| 关键词 | Cusip-level data History of unconventional monetary policy Large-scale asset purchases Monetary transmission mechanism |
| URL | https://cepr.org/publications/dp9145 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537980 |
| 推荐引用方式 GB/T 7714 | J David López-Salido,Edward Nelson. DP9145 The Federal Reserve?s Large-Scale Asset Purchase Programs: Rationale and Effects. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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