Arbeitspapier
Quantitative easing, the repo market, and the term structure of interest rates
We develop a quantity-driven general equilibrium model that integrates the term structure of interest rates with the repurchase agreements (repo) market to shed light on the combined effects of quantitative easing (QE) on the bond and money markets. We characterize in closed form the endogenous dynamic interaction between bond prices and repo rates, and show (i) that repo specialness dampens the impact of any given quantity of asset purchases due to QE on the slope of the term structure and (ii) that bond scarcity resulting from QE increases repo specialness, thus strengthening the local supply channel of QE.
- Sprache
-
Englisch
- Erschienen in
-
Series: SAFE Working Paper ; No. 395
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Term Structure of Interest Rates
Repo Specialness
Money Market
Quantitative Easing
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Jappelli, Ruggero
Pelizzon, Loriana
Subrahmanyam, Marti G.
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Institute for Financial Research SAFE
- (wo)
-
Frankfurt a. M.
- (wann)
-
2023
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Jappelli, Ruggero
- Pelizzon, Loriana
- Subrahmanyam, Marti G.
- Leibniz Institute for Financial Research SAFE
Entstanden
- 2023
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