TRANSMISSION OF QUANTITATIVE EASING: THE ROLE OF CENTRAL BANK RESERVES

• 成果类型: Article
• 署名作者: Christensen, Jens H. E.; Krogstrup, Signe
• 署名单位: International Monetary Fund
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12600
• 发表日期: 2019
• 页码: 249-272
• 关键词: scale asset purchases; monetary-policy; US; IMPACT; qe

摘要

This article presents empirical evidence of a reserve-induced transmission channel of quantitative easing to long-term interest rates. Reserve-induced effects are independent of the assets purchased and run through the impact of reserve expansions on bank balance sheets and the resulting bank portfolio rebalancing. For evidence, we analyse the reaction of Swiss long-term government bond yields to announcements by the Swiss National Bank to expand central bank reserves without acquiring any long-lived securities. The data suggest that declines in long-term yields following the announcements mainly reflected reduced term premiums, consistent with reserve-induced portfolio balance effects.