| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17555 |
| 来源ID | Working Paper 17555 |
| The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy | |
| Arvind Krishnamurthy; Annette Vissing-Jorgensen | |
| 发表日期 | 2011-10-31 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w17555 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575230 |
| 推荐引用方式 GB/T 7714 | Arvind Krishnamurthy,Annette Vissing-Jorgensen. The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17555.pdf（834KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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