Unconventional Monetary Policy and Long-Term Interest Rates:
This paper examines the transmission mechanism through which unconventional monetary policy affects long-term interest rates. I construct a real-time measure summarizing market projections of the magnitude and duration of the Federal Reserve's Large Scale Asset Purchases (LSAP) program, and ana...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2014
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 14/189 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | This paper examines the transmission mechanism through which unconventional monetary policy affects long-term interest rates. I construct a real-time measure summarizing market projections of the magnitude and duration of the Federal Reserve's Large Scale Asset Purchases (LSAP) program, and analyze the determination of term premiums and expectations of future short-term interest rates in a sample spanning more than two decades. Empirical findings suggest that the LSAP has effectively lowered the long-term Treasury bond yields, through both "signaling" and "portfolio balance" channels. On the other hand, the Fed's "forward guidance" also leads to gradual extension of market projections for the duration of the LSAP program, thereby enhancing the LSAP's effect to keep term premiums low. Estimation results also reveal a diminished effectiveness of the LSAP during QE III. Finally, model simulations underscore the importance of policy transparency in minimizing unnecessary market turbulence and ensuring a timely and smooth exit of the unconventional monetary policy stimulus |
| Beschreibung: | 1 Online-Ressource (49 p) |
| ISBN: | 1498317243 9781498317245 |
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| spelling | Wu, Tao Verfasser aut Unconventional Monetary Policy and Long-Term Interest Rates Wu, Tao Washington, D.C International Monetary Fund 2014 1 Online-Ressource (49 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 14/189 This paper examines the transmission mechanism through which unconventional monetary policy affects long-term interest rates. I construct a real-time measure summarizing market projections of the magnitude and duration of the Federal Reserve's Large Scale Asset Purchases (LSAP) program, and analyze the determination of term premiums and expectations of future short-term interest rates in a sample spanning more than two decades. Empirical findings suggest that the LSAP has effectively lowered the long-term Treasury bond yields, through both "signaling" and "portfolio balance" channels. On the other hand, the Fed's "forward guidance" also leads to gradual extension of market projections for the duration of the LSAP program, thereby enhancing the LSAP's effect to keep term premiums low. Estimation results also reveal a diminished effectiveness of the LSAP during QE III. Finally, model simulations underscore the importance of policy transparency in minimizing unnecessary market turbulence and ensuring a timely and smooth exit of the unconventional monetary policy stimulus Online-Ausg http://elibrary.imf.org/view/IMF001/22107-9781498317245/22107-9781498317245/22107-9781498317245.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Wu, Tao Unconventional Monetary Policy and Long-Term Interest Rates |
| title | Unconventional Monetary Policy and Long-Term Interest Rates |
| title_auth | Unconventional Monetary Policy and Long-Term Interest Rates |
| title_exact_search | Unconventional Monetary Policy and Long-Term Interest Rates |
| title_exact_search_txtP | Unconventional Monetary Policy and Long-Term Interest Rates |
| title_full | Unconventional Monetary Policy and Long-Term Interest Rates Wu, Tao |
| title_fullStr | Unconventional Monetary Policy and Long-Term Interest Rates Wu, Tao |
| title_full_unstemmed | Unconventional Monetary Policy and Long-Term Interest Rates Wu, Tao |
| title_short | Unconventional Monetary Policy and Long-Term Interest Rates |
| title_sort | unconventional monetary policy and long term interest rates |
| url | http://elibrary.imf.org/view/IMF001/22107-9781498317245/22107-9781498317245/22107-9781498317245.xml |
| work_keys_str_mv | AT wutao unconventionalmonetarypolicyandlongterminterestrates |