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

Thomas McInish, Christopher Neely and Jade Planchon

Economics Letters, 2021, vol. 200, issue C

Abstract: Cohen et al. (2007), find that shifts in the demand curve for shorting predict negative stock returns. We use their approach to examine supply and demand changes at the time of the Federal Open Market Committee (FOMC) announcements. We show that shifts in the demand for borrowing Treasuries and agencies predict quantitative easing (QE). A reduction in the quantity demanded at all points along the demand curve predicts expansionary QE 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 G01 G1 G18 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016517652030478X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Supply and demand shifts of shorts before Fed announcements during QE1–QE3 (2020)
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:eee:ecolet:v:200:y:2021:i:c:s016517652030478x

DOI: 10.1016/j.econlet.2020.109718

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().