IMF Working Papers

Quantitative Easing and Long-Term Yields in Small Open Economies

By Antonio Diez de los Rios, Maral Shamloo

September 29, 2017

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Antonio Diez de los Rios, and Maral Shamloo. Quantitative Easing and Long-Term Yields in Small Open Economies, (USA: International Monetary Fund, 2017) accessed December 12, 2024

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.

Summary

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.

Subject: Banking, Bonds, Financial institutions, Financial services, Long term interest rates, Monetary policy, Sovereign bonds, Unconventional monetary policies, Yield curve

Keywords: Asset purchase, Asset purchase announcement, Asset purchases, BoE Monetary Policy Commitee, Bonds, Event study, Expected return, Fed funds rate, Global, Long term interest rates, Long-term yield, Portfolio balance, Purchase announcement, Purchase program, QE asset purchase, QE program, Riksbank asset purchase announcement, Signaling, Sovereign bonds, Unconventional monetary policies, Unconventional monetary policy, WP, Yield, Yield curve, Zero-coupon bond

Publication Details

  • Pages:

    46

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2017/212

  • Stock No:

    WPIEA2017212

  • ISBN:

    9781484320730

  • ISSN:

    1018-5941