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Did quantitative easing affect interest rates outside the US? New evidence based on interest rate differentials | |
Ansgar Belke; Daniel Gros; Thomas Osowski | |
发表日期 | 2016-01-26 |
出版年 | 2016 |
语种 | 英语 |
摘要 | This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates followed a global downward trend prior to as well as during the financial crisis. Comparing interest rate developments in the US and the eurozone, it is difficult to detect a distinct impact of the first round of the Fed’s quantitative easing programme (QE1) on US interest rates for which the global environment – the global downward trend in interest rates – does not account. Motivated by these findings, we analyse the impact of the Fed’s QE1 programme on the stability of the US-euro long-term interest rate relationship by using a CVAR (cointegrated vector autoregressive) model and, in particular, recursive estimation methods. Using data gathered between 2002 and 2014, we find limited evidence that QE1 caused the break-up or destabilised the transatlantic interest rate relationship. Taking global interest rate developments into account, we thus find no significant evidence that QE had any independent, distinct impact on US interest rates. Ansgar Belke is ad Personam Jean Monnet Chair for Macroeconomics and Director of the Institute of Business and Economics, University of Duisburg-Essen. Daniel Gros is Director of CEPS and Thomas Osowski is a Research Assistant at the University of Duisburg-Essen. |
主题 | Economy and Finance |
URL | https://www.ceps.eu/publications/did-quantitative-easing-affect-interest-rates-outside-us-new-evidence-based-interest |
来源智库 | Centre for European Policy Studies (Belgium) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/64615 |
推荐引用方式 GB/T 7714 | Ansgar Belke,Daniel Gros,Thomas Osowski. Did quantitative easing affect interest rates outside the US? New evidence based on interest rate differentials. 2016. |
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 | ||
WD416%20Did%20QE%20a(960KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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