The Response of Interest Rates to US and UK Quantitative Easing
Bibliographic Data
| ID | 9718662 |
|---|---|
| Authors | Jens H E Christensen (0000-0001-7494-2736, Federal Reserve Bank of San Francisco), Glenn D Rudebusch (0000-0003-0989-6184, Federal Reserve Bank of San Francisco) |
| Year | 2012 |
| Volume | 122 |
| Issue | 564 |
| Pages | F385-F414 |
| Publication date | 2012-11-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/j.1468-0297.2012.02554.x |
| OpenAlex | W1663622626 |
| Language | EN |
| Citations received | 12 |
| References cited | 18 |
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
Bond · Central bank · Debt · Economics · Financial economics · Government bond · Interest rate · Monetary economics · Monetary policy · Portfolio · Quantitative easing · Term (time · Yield curve · Credit Risk and Financial Regulations · Finance · Monetary Policy and Economic Impact · Stochastic processes and financial applications
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| Citations per year | 0.86 |
|---|---|
| Citation span | 2012 - 2026 (15) |
| Highly cited | No |