Quantitative Easing and Long-Term Yields in Small Open Economies

Antonio Diez de los Rios and Maral Shamloo

No 2017/212, IMF Working Papers from International Monetary Fund

Abstract: We compare the effectiveness of Federal Reserve's asset purchase programs in lowering longterm yields with that of similar programs implemented by the Bank of England, 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, 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, furthermore, they have had limited, but significant, effect in lowering long-term yields.

Keywords: WP; yield; asset purchase; expected return; Unconventional monetary policy; event study; signaling; portfolio balance; asset purchases; purchase announcement; long-term yield; purchase program; QE asset purchase; QE program; Riksbank asset purchase announcement; asset purchase announcement; BoE Monetary Policy Commitee; fed funds rate; zero-coupon bond; Yield curve; Unconventional monetary policies; Bonds; Sovereign bonds; Long term interest rates; Global (search for similar items in EconPapers)
Pages: 46
Date: 2017-09-29
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Citations: View citations in EconPapers (14)

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Working Paper: Quantitative Easing and Long-Term Yields in Small Open Economies (2017)
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