Unconventional Monetary Policy and Long-Term Interest Rates

被引：0

作者：

Wu, Tao ^{[1
]}

机构：

[1] Int Monetary Fund, Washington, DC 20431 USA

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2024年 / 56卷 / 08期

关键词：

unconventional monetary policy; quantitative easing; Large-Scale Asset Purchases; long-term interest rates; signaling effect; portfolio balance; taper tantrum; exit strategy;

D O I：

10.1111/jmcb.13111

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper constructs a survey-based measure capturing the evolution of market's expectations of the Federal Reserve's Large-Scale Asset Purchases (LSAP) program during 2008-18, and examines the transmission mechanism of unconventional monetary policy. Estimation results suggest that both signaling and portfolio balance channels of the LSAP were important in lowering long-term interest rates; Moreover, the Federal Reserve's forward guidance policy had led to a gradual extension of market's projections of the duration of the LSAP, making its effects more persistent. Model estimation also explains the 2013 taper tantrum well, and suggests that the LSAP's effects might have declined during QE III.

引用

页码：2061 / 2104

页数：44

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