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Impact of Quantitative Easing on Purchased Asset Yields, its Persistency and Overlap

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  • Jakub Jakl

    (Department of Monetary Theory and Policy, University of Economics, Prague)

Abstract

The main focus of this paper rests on the event study and SVAR analysis of quantitative easing that was initiated as a reaction to the financial crisis at the turn of 2008/2009 that finally ended in 2014. The Fed was virtually unable to continue with its conventional monetary policy regime in environment of zero-bound threshold, where there is no easy way to decrease main monetary policy rate any further. As a reaction to this limitation, the Fed started to practice quantitative easing and other unconventional measures. Event study examines changes in yields of purchased assets, namely US Treasuries, MBS and agency debt, and on two-day event window of the OIS and yield spreads quantifies imminent impact of QE announcements and relevant chairman speeches. Following VAR model and impulse-response functions, I examine the impact of QE and its persistency on purchased asset and on alternative asset classes in the framework of various transmission channels such as signalling, portfolio-balancing and liquidity channels. In this study I found non-negligible impact of QE on purchased assets in both models through all waves of QE and time persistency patterns in IRFs part. Furthermore, some evidence for portfolio-balancing channel and other related channels was found.

Suggested Citation

  • Jakub Jakl, 2017. "Impact of Quantitative Easing on Purchased Asset Yields, its Persistency and Overlap," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 6(2), pages 77-99.
    • Handle: RePEc:cbk:journl:v:6:y:2017:i:2:p:77-99
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    File URL: http://www.cbcg.me/repec/cbk/journl/vol6no2-5.pdf
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    Citations

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    Cited by:

    1. Erasmo Giambona & Rafael Matta & José-Luis Peydró & Ye Wang, 2020. "Quantitative Easing, Investment, and Safe Assets: The Corporate-Bond Lending Channel," Working Papers 1179, Barcelona School of Economics.
    2. Aleksandra Praščević & Milutin Ješić, 2019. "Modeling Macroeconomic Policymakers’ Interactions under Zero Lower Bound Environment: The New Keynesian Theoretical Approach," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 8(1), pages 5-38.
    3. Carlos Castro-Iragorri & Juan Felipe Peña & Cristhian Rodríguez, 2021. "A Segmented and Observable Yield Curve for Colombia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(2), pages 179-200.

    More about this item

    Keywords

    monetary policy; quantitative easing; credit easing;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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