The large scale asset purchases had large international effects

Christopher Neely

No 2010-018, Working Papers from Federal Reserve Bank of St. Louis

Abstract: The Federal Reserve's large scale asset purchases (LSAP) of agency debt, MBSs and long-term U.S. Treasuries not only reduced long-term U.S. bond yields also significantly reduced long-term foreign bond yields and the spot value of the dollar. These changes were much too large to have been generated by chance and they closely followed LSAP announcement times. These changes in U.S. and foreign bond yields are roughly consistent with a simple portfolio choice model. Likewise, the exchange rate responses to LSAP announcements are roughly consistent with a UIP-PPP based model. The success of the LSAP in reducing long-term interest rates and the value of the dollar shows that central banks are not toothless when short rates hit the zero bound.

Keywords: Monetary policy; Interest rates (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-cba and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (183)

Downloads: (external link)
https://s3.amazonaws.com/real.stlouisfed.org/wp/2010/2010-018.pdf Full text (application/pdf)

Related works:
Journal Article: Unconventional monetary policy had large international effects (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedlwp:2010-018

Ordering information: This working paper can be ordered from

DOI: 10.20955/wp.2010.018

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of St. Louis Contact information at EDIRC.
Bibliographic data for series maintained by Scott St. Louis ().