Impact of Quantitative Easing on Purchased Asset Yields, its Persistency and Overlap

Artikel

The main focus of this paper rests on the event study and SVAR analysis of quantitative easing that was initiated as a reaction to the financial crisis at the turn of 2008/2009 that finally ended in 2014. The Fed was virtually unable to continue with its conventional monetary policy regime in environment of zero-bound threshold, where there is no easy way to decrease main monetary policy rate any further. As a reaction to this limitation, the Fed started to practice quantitative easing and other unconventional measures. Event study examines changes in yields of purchased assets, namely US Treasuries, MBS and agency debt, and on two-day event window of the OIS and yield spreads quantifies imminent impact of QE announcements and relevant chairman speeches. Following VAR model and impulse-response functions, I examine the impact of QE and its persistency on purchased asset and on alternative asset classes in the framework of various transmission channels such as signalling, portfolio-balancing and liquidity channels. In this study I found non-negligible impact of QE on purchased assets in both models through all waves of QE and time persistency patterns in IRFs part. Furthermore, some evidence for portfolio-balancing channel and other related channels was found.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Central Banking Theory and Practice ; ISSN: 2336-9205 ; Volume: 6 ; Year: 2017 ; Issue: 2 ; Pages: 77-99 ; Warsaw: De Gruyter Open

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; Central Banks and Their Policies ; Financial Markets and the Macroeconomy
• Subject: monetary policy ; quantitative easing ; credit easing

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Jakl, Jakub
• Event: Veröffentlichung
• (who): De Gruyter Open
• (where): Warsaw
• (when): 2017

Further information

• DOI: doi:10.1515/jcbtp-2017-0014
• Handle: http://hdl.handle.net/10419/217621
• Last update: 10.03.2025, 11:43 AM CET