| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29971 |
| 来源ID | Working Paper 29971 |
| The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under | |
| David Lucca; Jonathan H. Wright | |
| 发表日期 | 2022-04-25 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We study the recent Australian experience with yield curve control (YCC) of government bonds as perhaps the best evidence of how this policy might work in other developed economies. We interpret the evidence with a simple model in which YCC affects prices of both government and other bonds via “broad” transmission channels, but only government bond prices through “narrow” liquidity channels. YCC seemingly worked well in 2020 while the market expected short rates to stay at zero for long. But as the global recovery and inflation gained momentum in 2021, liftoff expectations moved up, the Reserve Bank of Australia purchased most of the outstanding amount of the targeted government bond, and its yield dislocated from other financial market instruments. The model and empirical evidence point to narrow transmission channels playing more prominent roles than broad channels considered in prior studies of quantitative easing (QE), such as portfolio balance effects and signaling about short term rates. We argue that asset-specific narrow channels may be primary transmission mechanisms of quantity-based QE policies as well. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w29971 |
| 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/587645 |
| 推荐引用方式 GB/T 7714 | David Lucca,Jonathan H. Wright. The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under. 2022. |
| 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 | ||
| w29971.pdf（736KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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