| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11005 |
| DP11005 Forward Guidance in the Yield Curve: Short Rates versus Bond Supply | |
| Dimitri Vayanos; Robin Greenwood | |
| 发表日期 | 2015-12-20 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We present a model of the yield curve in which the central bank can provide market participants with forward guidance on both future short rates and on future Quantitative Easing (QE) operations, which affect bond supply. Forward guidance on short rates works through the expectations hypothesis, while forward guidance on QE works through expected future bond risk premia. If a QE operation is expected to be undone in the near term, then its announcement will have a hump-shaped effect on the yield and forward-rate curves; otherwise the effect may be increasing with maturity. Humps associated to QE announcements typically occur at maturities longer than those associated to short-rate announcements, even when the effects of the former are expected to last over a shorter horizon. We use our model to re-examine the empirical evidence on QE announcements in the US. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Central banks Forward guidance Limited arbitrage Quantitative easing Yield curve |
| URL | https://cepr.org/publications/dp11005 |
| 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/539834 |
| 推荐引用方式 GB/T 7714 | Dimitri Vayanos,Robin Greenwood. DP11005 Forward Guidance in the Yield Curve: Short Rates versus Bond Supply. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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