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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w24122 |
来源ID | Working Paper 24122 |
The Effects of Quantitative Easing: Taking a Cue from Treasury Auctions | |
Yuriy Gorodnichenko; Walker Ray | |
发表日期 | 2017-12-18 |
出版年 | 2017 |
语种 | 英语 |
摘要 | To understand the effects of large-scale asset purchase programs recently implemented by central banks, we study how markets absorb large demand shocks for risk-free debt. Using high-frequency identification, we exploit the structure of the primary market for U.S. Treasuries to isolate demand shocks. These shocks are sizable, leading to large movements in Treasury yields and impacting corporate borrowing rates. Informed by a preferred habitat model of the term structure, we test for “local” demand effects and find evidence consistent with theoretical predictions. Crucially, this local effect is strongest when financial markets are disrupted. Our estimates are consistent with the view that quantitative easing worked mainly via market segmentation, with a potentially limited role for other channels. |
主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy |
URL | https://www.nber.org/papers/w24122 |
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/581795 |
推荐引用方式 GB/T 7714 | Yuriy Gorodnichenko,Walker Ray. The Effects of Quantitative Easing: Taking a Cue from Treasury Auctions. 2017. |
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 | ||
w24122.pdf(1506KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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