| 来源类型 | Working Paper
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| 规范类型 | 报告
|
| DOI | 10.3386/w23311
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| 来源ID | Working Paper 23311
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| Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets |
| Eric T. Swanson
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| 发表日期 | 2017-04-10
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| 出版年 | 2017
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| 语种 | 英语
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| 摘要 | I extend the methods of G¨urkaynak, Sack, and Swanson (2005) to separately identify the effects of Federal Reserve forward guidance and large-scale asset purchases (LSAPs) during the 2009–15 U.S. zero lower bound (ZLB) period. I find that both forward guidance and LSAPs had substantial and highly statistically significant effects, comparable in magnitude to the effects of the federal funds rate before the ZLB. Forward guidance was more effective than LSAPs at moving short-term Treasury yields, while LSAPs were more effective than forward guidance and the federal funds rate at moving longer-term Treasury and corporate bond yields. I estimate that the effects of LSAP announcements were very persistent, with the exception of the very large and perhaps special March 2009 “QE1” announcement. The effects of forward guidance are slightly less persistent, but the difference is not statistically significant and is likely due to the FOMC’s forward guidance announcements having a relatively shorter horizon. |
| 主题 | Macroeconomics
; Money and Interest Rates
; Monetary Policy
|
| URL | https://www.nber.org/papers/w23311
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580985
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推荐引用方式
GB/T 7714 |
Eric T. Swanson. Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets. 2017.
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文件名：
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w23311.pdf
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格式：
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Adobe PDF
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