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Quantitative Easing and Long-Term Yields in Small Open Economies

Antonio Diez de los Rios () and Maral Shamloo ()

Staff Working Papers from Bank of Canada

Abstract: We compare the Federal Reserve’s asset purchase programs with those implemented by the Bank of England and the Swedish Riksbank, and the Swiss National Bank’s reserve expansion program. We decompose government bond yields into (i) an expectations component, (ii) a global term premium and (iii) a country-specific term premium to analyze two-day changes in 10-year yields around announcement dates. We find that, in contrast to the Federal Reserve’s asset purchases, the programs implemented in these smaller economies have not been able to affect the global term premium and, consequently, their effectiveness in lowering long-term yields has been limited.

Keywords: Financial markets; Interest rates; Monetary Policy (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-mon
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:17-26

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