Quantitative Easing and Long-Term Yields in Small Open Economies

Author/Editor:

Antonio Diez de los Rios ; Maral Shamloo

Publication Date:

September 29, 2017

Electronic Access:

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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.

Series:

Working Paper No. 17/212

Subject:

English

Publication Date:

September 29, 2017

ISBN/ISSN:

9781484320730/1018-5941

Stock No:

WPIEA2017212

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

46

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