{"title":"量化宽松与紧缩的非预期供给效应","authors":"Stefania D’Amico, Tim Seida","doi":"10.1093/ej/uead071","DOIUrl":null,"url":null,"abstract":"Abstract To analyse the evolution of the effects of quantitative easing (QE) and tightening (QT) across consecutive announcements, we focus on their unexpected component. Treasury yield sensitivities to QT supply surprises are on average larger than sensitivities to QE surprises, implying supply effects did not diminish during periods of market calm amid economic expansion. Yield sensitivities to later QE and QT surprises do not fall monotonically, thus supply shocks seemed to remain powerful. Finally, yield sensitivities are amplified by the amount of interest-rate uncertainty prevailing before announcements, implying that turning points in the balance sheet policy tended to elicit larger reactions.","PeriodicalId":48448,"journal":{"name":"Economic Journal","volume":"91 1","pages":"0"},"PeriodicalIF":3.8000,"publicationDate":"2023-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Unexpected Supply Effects of Quantitative Easing and Tightening\",\"authors\":\"Stefania D’Amico, Tim Seida\",\"doi\":\"10.1093/ej/uead071\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract To analyse the evolution of the effects of quantitative easing (QE) and tightening (QT) across consecutive announcements, we focus on their unexpected component. Treasury yield sensitivities to QT supply surprises are on average larger than sensitivities to QE surprises, implying supply effects did not diminish during periods of market calm amid economic expansion. Yield sensitivities to later QE and QT surprises do not fall monotonically, thus supply shocks seemed to remain powerful. Finally, yield sensitivities are amplified by the amount of interest-rate uncertainty prevailing before announcements, implying that turning points in the balance sheet policy tended to elicit larger reactions.\",\"PeriodicalId\":48448,\"journal\":{\"name\":\"Economic Journal\",\"volume\":\"91 1\",\"pages\":\"0\"},\"PeriodicalIF\":3.8000,\"publicationDate\":\"2023-09-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Economic Journal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1093/ej/uead071\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economic Journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1093/ej/uead071","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
Unexpected Supply Effects of Quantitative Easing and Tightening
Abstract To analyse the evolution of the effects of quantitative easing (QE) and tightening (QT) across consecutive announcements, we focus on their unexpected component. Treasury yield sensitivities to QT supply surprises are on average larger than sensitivities to QE surprises, implying supply effects did not diminish during periods of market calm amid economic expansion. Yield sensitivities to later QE and QT surprises do not fall monotonically, thus supply shocks seemed to remain powerful. Finally, yield sensitivities are amplified by the amount of interest-rate uncertainty prevailing before announcements, implying that turning points in the balance sheet policy tended to elicit larger reactions.
期刊介绍：
The Economic Journal is the Royal Economic Society''s flagship title, and is one of the founding journals of modern economics. Over the past 125 years the journal has provided a platform for high quality and imaginative economic research, earning a worldwide reputation excellence as a general journal publishing papers in all fields of economics for a broad international readership. It is invaluable to anyone with an active interest in economic issues and is a key source for professional economists in higher education, business, government and the financial sector who want to keep abreast of current thinking in economics.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
