Shall we twist?

Sophie Altermatt and Simon Beyeler

No 2020-11, Working Papers from Swiss National Bank

Abstract: We study the implementation and effectiveness of Operation Twist, which represents the origin of today's unconventional monetary policy measures. Operation Twist serves as a perfect laboratory to assess the usefulness of such balance sheet policies because at that time interest rates were not at their lower bound and the economy was not in a historic turmoil. We assess the actions of the Fed and the Treasury under Operation Twist based on balance sheet data and evaluate the success of the operation using modern time series techniques. We find that the joint policy actions, despite being of rather moderate scale, were effective in compressing the long-short spreads of Treasury bond rates.

Keywords: Operation Twist; monetary policy; interest rates; yield curve; time series (search for similar items in EconPapers)
JEL-codes: C22 E43 E52 E63 E65 (search for similar items in EconPapers)
Pages: 53 pages
Date: 2020
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2020-11

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