The impact of recent central bank asset purchase programmes
AbstractThis article analyses the effectiveness of the asset purchase programmes implemented by the Federal Reserve and the Bank of England. Both the Federal Reserve's Large-Scale Asset Purchase (LSAP) programme and the Bank of England's Asset Purchase Facility (APF) had a significant impact on financial markets when the first stages were announced, but the effects became smaller for later extensions of the programmes. Applying a methodology developed by D'Amico and King (2010), we estimate that the lasting reduction in bond supply via central bank asset purchases lowered government bond yields significantly. The effect is largely similar for the LSAP and the APF. Our estimations also suggest that the Federal Reserve's new maturity extension programme (MEP) should have an effect on longer-term Treasury bond yields comparable to that of the outright asset purchases under the LSAP.
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Bibliographic InfoArticle provided by Bank for International Settlements in its journal BIS Quarterly Review.
Volume (Year): (2011)
Issue (Month): (December)
Find related papers by JEL classification:
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
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