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作者：Kapetanios, George; Mumtaz, Haroon; Stevens, Ibrahim; Theodoridis, Konstantinos
作者单位：University of London; Queen Mary University London
摘要：This article examines the macroeconomic impact of the first round of quantitative easing (QE) by the Bank of England. We attempt to quantify the effects of these purchases by focusing on the impact of lower long-term interest rates on the wider economy. We use three different models to estimate the impact of QE on output and inflation: a large Bayesian vector autoregression (VAR), a change-point structural VAR and a time-varying parameter VAR. Our estimates suggest that QE may have had a peak ...
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作者：Joyce, Michael; Miles, David; Scott, Andrew; Vayanos, Dimitri
作者单位：Bank of England; University of London; London School Economics & Political Science
摘要：This article assesses the impact of Quantitative Easing and other unconventional monetary policies followed by central banks in the wake of the financial crisis that began in 2007. We consider the implications of theoretical models for the effectiveness of asset purchases and look at the evidence from a range of empirical studies. We also provide an overview of the contributions of the other articles in this Feature.
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作者：Christensen, Jens H. E.; Rudebusch, Glenn D.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
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 import...
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作者：Chen, Han; Curdia, Vasco; Ferrero, Andrea
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Pennsylvania
摘要：We simulate the Federal Reserve second Large-Scale Asset Purchase programme in a DSGE model with bond market segmentation estimated on US data. GDP growth increases by less than a third of a percentage point and inflation barely changes relative to the absence of intervention. The key reasons behind our findings are small estimates for both the elasticity of the risk premium to the quantity of long-term debt and the degree of financial market segmentation. Without the commitment to keep the no...
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作者：Giannone, Domenico; Lenza, Michele; Pill, Huw; Reichlin, Lucrezia
作者单位：Universite Libre de Bruxelles; University of London; London Business School
摘要：We analyse the impact on the euro area economy of the ECBs non-standard monetary policy measures by studying the effect of the expansion of intermediation of interbank transactions across the central bank balance sheet. We exploit data drawn from the aggregated Monetary and Financial Institutions (MFI) balance sheet, which allow us to construct a measure of the policy shock represented by the ECBs increasing role as a financial intermediary. We find small but significant effects on both loans ...
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作者：Wright, Jonathan H.
作者单位：Johns Hopkins University
摘要：This article uses a structural VAR with daily data to identify the effects of monetary policy shocks on various longer term interest rates since the federal funds rate has been stuck at the zero lower bound. The VAR is identified using the assumption that monetary policy shocks are heteroskedastic: monetary policy shocks have especially high variance on days of FOMC meetings and certain speeches, while there is otherwise nothing unusual about these days. A complementary high-frequency event-st...
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作者：D'Amico, Stefania; English, William; Lopez-Salido, David; Nelson, Edward
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
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 ...
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作者：Joyce, Michael A. S.; Tong, Matthew
作者单位：Bank of England
摘要：We examine the impact of the first phase of the Bank of Englands quantitative easing (QE) programme during March 2009January 2010 on the UK government bond (gilt) market, using high-frequency, disaggregated data on individual gilts. We find that: QE announcements took varying amounts of time to get incorporated into market prices and had significant effects on the shape of the term structure; the Banks reverse auctions were initially associated with additional yield reductions; and, allowing f...
