THE RESPONSE OF INTEREST RATES TO US AND UK QUANTITATIVE EASING

• 成果类型: Article
• 署名作者: Christensen, Jens H. E.; Rudebusch, Glenn D.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2012.02554.x
• 发表日期: 2012
• 页码: F385-F414
• 关键词: term structure

摘要

We analyse declines in government bond yields following announcements by the Federal Reserve and the Bank of England of plans to buy longer term debt. Using dynamic term structure models, we decompose US and UK yields into expectations about future short-term interest rates and term premiums. We find that declines in US yields mainly reflected lower expectations of future short-term interest rates, while declines in UK yields appeared to reflect reduced term premiums. Thus, the relative importance of the signalling and portfolio balance channels of quantitative easing may depend on market institutional structures and central bank communication policies.