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Quantitative Easingand U.S. Financial Asset Returns

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  • Joanne GUO

    () (University of Bridgeport, USA.)

Abstract

This paper is a comprehensive study of the unconventional monetary policy taken by the Federal Reserve since the financial crisis of 2008, specifically on the purchases of different assets by the Fed to change medium and long-term rates. Included in this study are the three rounds of quantitative easing, and the two rounds of Operation Twist. A study as such is needed in order to examine if the Fed’s purchases of these various long-term assets had any effect on the financial markets in the longer term perspective since the first announcement of the first round of purchase in November 2008. While there exists a variety of literature on the effects of quantitative easing on Treasuries and mortgage backed securities, there is no single study comprising of all the large scale asset purchases by the Fed, covering their effects on all major financial assets. This study is an attempt to fill this void in current literature on quantitative easing.

Suggested Citation

  • Joanne GUO, 2015. "Quantitative Easingand U.S. Financial Asset Returns," Journal of Economics Bibliography, KSP Journals, vol. 2(3), pages 76-105, September.
  • Handle: RePEc:ksp:journ6:v:2:y:2015:i:3:p:76-105
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    File URL: http://www.kspjournals.org/index.php/JEB/article/view/442
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    References listed on IDEAS

    as
    1. Joel Hasbrouck, 2003. "Intraday Price Formation in U.S. Equity Index Markets," Journal of Finance, American Finance Association, vol. 58(6), pages 2375-2400, December.
    2. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    3. Forbes, Kristin J. & Warnock, Francis E., 2012. "Capital flow waves: Surges, stops, flight, and retrenchment," Journal of International Economics, Elsevier, vol. 88(2), pages 235-251.
    4. Joseph Gagnon & Matthew Raskin & Julie Remache & Brian Sack, 2011. "The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases," International Journal of Central Banking, International Journal of Central Banking, vol. 7(1), pages 3-43, March.
    5. Tao Wang & Jian Yang & Jingtao Wu, 2006. "Central bank communications and equity ETFs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(10), pages 959-995, October.
    6. Johannes Stroebel & John B. Taylor, 2012. "Estimated Impact of the Federal Reserve’s Mortgage-Backed Securities Purchase Program," International Journal of Central Banking, International Journal of Central Banking, vol. 8(2), pages 1-42, June.
    7. Eichengreen, Barry & Gupta, Poonam, 2015. "Tapering talk: The impact of expectations of reduced Federal Reserve security purchases on emerging markets," Emerging Markets Review, Elsevier, vol. 25(C), pages 1-15.
    8. Jeffrey F. Jaffe, 1974. "The Effect of Regulation Changes on Insider Trading," Bell Journal of Economics, The RAND Corporation, vol. 5(1), pages 93-121, Spring.
    9. Lim, Jamus Jerome & Mohapatra, Sanket & Stocker, Marc, 2014. "Tinker, taper, QE, bye ? the effect of quantitative easing on financial flows to developing countries," Policy Research Working Paper Series 6820, The World Bank.
    10. Gauti B. Eggertsson & Michael Woodford, 2003. "The Zero Bound on Interest Rates and Optimal Monetary Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(1), pages 139-235.
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    More about this item

    Keywords

    Unconventional Monetary Policy; Quantitative Easing; the Federal Reserve.;

    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
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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