THE FEDERAL RESERVE'S LARGE-SCALE ASSET PURCHASE PROGRAMMES: RATIONALE AND EFFECTS

• 成果类型: Article
• 署名作者: D'Amico, Stefania; English, William; Lopez-Salido, David; Nelson, Edward
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2012.02550.x
• 发表日期: 2012
• 页码: F415-F446
• 关键词: interest-rates; term structure; monetary-policy; decisions; maturity

摘要

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.