Supply and demand shifts of shorts before Fed announcements during QE1–QE3

Thomas McInish (), Christopher Neely and Jade Planchon ()

No 2020-051, Working Papers from Federal Reserve Bank of St. Louis

Abstract: Cohen, Diether, and Malloy (Journal of Finance, 2007), find that shifts in the demand curve predict negative stock returns. We use their approach to examine changes in supply and demand at the time of FOMC announcements. We show that shifts in the demand for borrowing Treasuries and agencies predict quantitative easing. A reduction in the quantity demanded at all points along the demand curve predicts expansionary quantitative easing announcements.

Keywords: Quantitative Easing; Treasury bond short interest; Monetary Policy; Large-Scale Asset Purchases (LSAP); Agency securities; Treasury securities (search for similar items in EconPapers)
JEL-codes: E4 E44 E52 G1 G14 G18 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2020-12-17
New Economics Papers: this item is included in nep-mac and nep-mon
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Published in Economic Letters

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Related works:
Journal Article: Supply and demand shifts of shorts before Fed announcements during QE1–QE3 (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedlwp:89221

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DOI: 10.20955/wp.2020.051

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