| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27339 |
| 来源ID | Working Paper 27339 |
| An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies | |
| Alessandro Rebucci; Jonathan S. Hartley; Daniel Jiménez | |
| 发表日期 | 2020-06-08 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper conducts an event study of 30 quantitative easing (QE) announcements made by 21 central banks on daily government bond yields and bilateral US dollar exchange rates in March and April 2020, in the midst of the global financial turmoil triggered by the COVID-19 outbreak. The chapter also investigates the transmission of innovations to long-term interest rates in a standard GVAR model estimated with quarterly pre-COVID-19 data. The authors find that QE has not lost effectiveness in advanced economies and that its international transmission is consistent with the working of long-run uncovered interest rate parity and a large dollar shortage shock during the COVID-19 period. In emerging markets, the QE impact on bond yields is much stronger and its transmission to exchange rates is qualitatively different than in advanced economies. The GVAR evidence that the authors report illustrates the Fed’s pivotal role in the global transmission of long-term interest rate shocks, but also the ample scope for country-specific interventions to affect local financial market conditions, even after controlling for common factors and spillovers from other countries. The GVAR evidence also shows that QE interventions can have sizable real effects on output driven by a very persistent impact on long-term interest rates. |
| 主题 | Macroeconomics ; Monetary Policy ; International Economics ; International Macroeconomics ; Financial Economics ; Financial Markets ; Health, Education, and Welfare ; Education ; COVID-19 |
| URL | https://www.nber.org/papers/w27339 |
| 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/585010 |
| 推荐引用方式 GB/T 7714 | Alessandro Rebucci,Jonathan S. Hartley,Daniel Jiménez. An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies. 2020. |
| 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 | ||
| w27339.pdf（572KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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