全球智库信息集成服务系统(G2TT): A Lesson from the Great Depression that the Fed Might have Learned: A Comparison of the 1932 Open Market Purchases with Quantitative Easing

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w22581
来源ID	Working Paper 22581
	A Lesson from the Great Depression that the Fed Might have Learned: A Comparison of the 1932 Open Market Purchases with Quantitative Easing
	Michael Bordo; Arunima Sinha
发表日期	2016-08-25
出版年	2016
语种	英语
摘要	We examine the first QE program through the lens of an open-market operation under taken by the Federal Reserve in 1932, at the height of the Great Depression. This program entailed large purchases of medium- and long-term securities over a four-month period. There were no prior announcements about the size or composition of the operation, how long it would be put in place, and the program ended abruptly. We use the narrative record to conduct an event study analysis of the operation using the weekly-level Treasury holdings of the Federal Reserve in 1932, and the daily term structure of yields obtained from newspaper quotes. The event study indicates that the 1932 program dramatically lowered medium- and long-term Treasury yields; the declines in Treasury Notes and Bonds around the start of the operation were as large as 114 and 42 basis points respectively. We then use a segmented markets model to analyze the channel through which the open-market purchases affected the economy, namely the portfolio composition and signaling effects. Quarterly data from 1920-32 is used to estimate the model with Bayesian methods. We find that the significant degree of financial market segmentation in this period made the historical open market purchase operation more effective than QE in stimulating output growth. Had the Federal Reserve continued its operations and used the announcement strategy of the QE operation, the Great Contraction could have been attenuated earlier.
主题	Macroeconomics ; Monetary Policy ; History ; Macroeconomic History
URL	https://www.nber.org/papers/w22581
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/580255
推荐引用方式 GB/T 7714	Michael Bordo,Arunima Sinha. A Lesson from the Great Depression that the Fed Might have Learned: A Comparison of the 1932 Open Market Purchases with Quantitative Easing. 2016.

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文件名称/大小	资源类型	版本类型	开放类型	使用许可
w22581.pdf（346KB）	智库出版物		限制开放	CC BY-NC-SA	浏览