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The Federal Reserve's Large-scale Asset Purchase Programmes: Rationale and Effects

The Economic journal (London), 2012-11, Vol.122 (564), p.F415-F446 [Peer Reviewed Journal]

2012 Royal Economic Society ;2012 The Author(s). The Economic Journal © 2012 Royal Economic Society ;Copyright Blackwell Publishers Nov 2012 ;ISSN: 0013-0133 ;EISSN: 1468-0297 ;DOI: 10.1111/j.1468-0297.2012.02550.x ;CODEN: ECJOAB

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Title:
The Federal Reserve's Large-scale Asset Purchase Programmes: Rationale and Effects
Author: D'Amico, Stefania ; English, William ; López-Salido, David ; Nelson, Edward
Subjects: Asset acquisitions ; Assets ; Economic theory ; Empirical research ; FEATURE: UNCONVENTIONAL MONETARY POLICY AFTER THE FINANCIAL CRISIS ; Federal Reserve Bank ; Federal Reserve monetary policy ; Financial instruments ; Financial securities ; Financial theory ; Government bonds ; Interest rates ; Investors ; Monetary policy ; National treasuries ; Scarcity ; Studies ; Transmission mechanism ; U.S.A ; Yield ; Yield curves ; Yield to maturity
Is Part Of: The Economic journal (London), 2012-11, Vol.122 (564), p.F415-F446
Description: We provide empirical estimates of the effect of large-scale asset purchases (LSAPs) on longer term US Treasury yields within a framework that allows for several transmission channels including the scarcity channel associated with the preferred-habitat literature and the duration channel associated with interest-rate risk. We also clarify LSAPs' role in the broader context of historical monetary policy strategy. Results indicate that LSAP-style operations mainly impact longer term rates via the nominal term premium; within that premium, the response is predominantly embodied in the real term premium. The scarcity and duration channels both seem to be of considerable importance.
Publisher: Oxford, UK: Blackwell Publishing Ltd
Language: English
Identifier: ISSN: 0013-0133
EISSN: 1468-0297
DOI: 10.1111/j.1468-0297.2012.02550.x
CODEN: ECJOAB
Source: Alma/SFX Local Collection

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The Federal Reserve's Large-scale Asset Purchase Programmes: Rationale and Effects

2012 Royal Economic Society ;2012 The Author(s). The Economic Journal © 2012 Royal Economic Society ;Copyright Blackwell Publishers Nov 2012 ;ISSN: 0013-0133 ;EISSN: 1468-0297 ;DOI: 10.1111/j.1468-0297.2012.02550.x ;CODEN: ECJOAB

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