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Quantitative Easing and Long-Term Yields in Small Open Economies
Author:
Antonio Diez de los Riosnull

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and
Maral Shamloonull

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Series:
IMF Working Papers
Volume/Issue:
Volume 2017: Issue 212
Language:
English
Publication Date:
29 Sep 2017
DOI:
https://doi.org/10.5089/9781484320730.001
ISBN:
9781484320730
ISSN:
1018-5941
Pages:
46
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
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2017: Issue 212