Unexpected Supply Effects of Quantitative Easing and Tightening

IF 3.8 2区经济学 Q1 ECONOMICS

Economic Journal Pub Date : 2023-09-12 DOI:10.1093/ej/uead071

Stefania D’Amico, Tim Seida

引用次数: 0

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.

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量化宽松与紧缩的非预期供给效应

为了分析量化宽松(QE)和紧缩(QT)在连续公告中的影响演变，我们重点关注它们的意外成分。国债收益率对QT供应意外的敏感性平均大于对QE意外的敏感性，这意味着在经济扩张的市场平静时期，供应效应并未减弱。对后来量化宽松和QT意外的收益率敏感性不会单调下降，因此供应冲击似乎仍然强大。最后，收益率敏感性被公告发布前普遍存在的利率不确定性所放大，这意味着资产负债表政策的转折点往往会引发更大的反应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economic Journal ECONOMICS-

CiteScore

6.60

自引率

3.10%

发文量

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.