Advanced Search
MyIDEAS: Login

Are Unconventional Monetary Policies Effective?

Contents:

Author Info

  • Urszula Szczerbowicz

    ()
    (LUISS "Guido Carli" University)

Abstract

This paper evaluates the impact of unconventional and conventional monetary policies in the U.S. on the Libor-OIS spread, long-term interest rates and long-term inflation expectations. To this purpose we investigate the behavior of selected asset yields on the days of monetary policy announcements. We find that liquidity facilities other than TAF reduced the three-month Libor-OIS spread. The QE1 purchases of longer-term Treasury securities and agency debt/MBS lowered long-term interest rates. Furthermore, we find evidence that the Fed's rescue operations and QE2 raised long-term inflation expectations. Our results show that QE1 and QE2 had different effects: QE1 reduced long-term interest rates without raising inflation expectations, whereas QE2 raised inflation expectations and did not lower long-term interest rates. We also consider the impact of fiscal policy announcements. We find that the government bailouts reduced the three-month Libor-OIS spread while the fiscal stimulus announcements raised long-term inflation expectations.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://static.luiss.it/RePEc/pdf/celegw/1107.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Dipartimento di Economia e Finanza, LUISS Guido Carli in its series Working Papers CELEG with number 1107.

as in new window
Length:
Date of creation: 2011
Date of revision:
Handle: RePEc:lui:celegw:1107

Contact details of provider:
Postal: Viale Romania 32 - 00197 Roma
Phone: 06 85225.550
Fax: 06 85225.973
Email:
Web page: http://ricerca.economiaefinanza.luiss.it/
More information through EDIRC

Related research

Keywords: unconventional monetary policy; inflation expectations; long-term interest rates; Libor-OIS spread; announcements effect.;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Landais, Bernard, 2012. "Reformulation du modèle macroéconomique de la nouvelle synthèse : crédits, politique monétaire et écarts de taux
    [A reformulation of the new synthesis macroeconomic model : credits, monetary
    ," MPRA Paper 38665, University Library of Munich, Germany.
  2. Urszula Szczerbowicz, 2012. "The ECB Unconventional Monetary Policies: Have They Lowered Market Borrowing Costs for Banks and Governments?," Working Papers 2012-36, CEPII research center.
  3. Christopher Martin & Costas Milas, 2012. "Quantitative easing: a sceptical survey," Oxford Review of Economic Policy, Oxford University Press, vol. 28(4), pages 750-764, WINTER.
  4. Shaun K. Roache & Marina V Rousset, 2013. "Unconventional Monetary Policy and Asset Price Risk," IMF Working Papers 13/190, International Monetary Fund.
  5. Marek Belka & Jens Thomsen & Kim Abildgren & Pietro Catte & Pietro Cova & Patrizio Pagano & Ignazio Visco & Petar Chobanov & Amine Lahiani & Nikolay Nenovsky & Cristina Badarau & Grégory Levieuge & T, 2011. "Monetary Policy after the Crisis," SUERF Studies, SUERF - The European Money and Finance Forum, number 2011/3 edited by Ernest Gnan, & Ryszard Kokoszczynski & Tomasz Łyziak & Robert McCauley.
  6. Urszula Szczerbowicz, 2011. "Effectiveness of Unconventional Monetary Policies and their Impact on Long-Term Inflation Expectations," Chapters in SUERF Studies, SUERF - The European Money and Finance Forum.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:lui:celegw:1107. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Paolo Giordani).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.