The Effects of Quantitative Easing on Long-term Interest Rates

摘要: We evaluate the effect of Federal Reserve’s purchase long-term Treasuries and other bonds ("QE1" in 2008-2009 "QE2" 2010-2011) on interest rates. Using an event-study methodology that exploits both daily intra-day data, we find a large significant drop nominal rates safe assets (Treasuries, Agency bonds, highly-rated corporate bonds). This occurs mainly because there is unique clientele for assets, Fed purchases reduce supply such hence increase equilibrium safety-premium. only small effects (default-adjusted) less as Baa The impact quantitative easing MBS when QE involves purchases, but not it Treasury indicating second main channel to affect price mortgage-specific risk. Evidence from inflation swap TIPS show expected increased due QE1 QE2, implying reductions real were larger than Our analysis implies (a) inappropriate focus policy target works through several channels particular differently, (b) depend critically which are purchased.