Effectiveness of QE: An assessment of event-study evidence

Daniel Thornton

Journal of Macroeconomics, 2017, vol. 52, issue C, 56-74

Abstract: Event-studies are widely used to investigate the effectiveness of quantitative easing (QE) and the announcement effects found in this literature are widely cited as evidence that QE significantly reduced long-term yields. However, these announcement effects can be considered evidence of the effectiveness of QE in reducing long-term yields only if the announcement effects are due solely to QE news and are statistically significantly. This paper contributes to the literature by investigating whether announcement effects reported in the QE event-study literature meet this evidentiary standard.

Keywords: Quantitative easing; Large-scale asset purchases; FOMC; Event studies; Announcement effect (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:52:y:2017:i:c:p:56-74

DOI: 10.1016/j.jmacro.2017.03.001

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