کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5101107 1377272 2017 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The effectiveness of the Fed's quantitative easing policy: New evidence based on international interest rate differentials
ترجمه فارسی عنوان
اثربخشی سیاست کاهش تسهیلات فدرال رزرو: شواهد جدید مبتنی بر تفاوت های نرخ بهره بین المللی است
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper explores the effects of non-standard monetary policies on international yield relationships. We first document that long-term rates followed a common global downward trend that had already manifested itself prior to the financial crisis. The bond-buying operations (commonly dubbed Quantitative Easing (QE)) of the US Federal Reserve did not disturb this global co-movement - i.e. the global downward trend in interest rates. We model the relationship between USD and euro (riskless) long-term interest rates using a Cointegrated Vector Autoregressive Model (CVAR) employing recursive estimation methods. We find no evidence that QE1 (or the QE episodes) destabilized the transatlantic interest-rate relationship, nor the relationship between interest rates and the US dollar exchange rate. A robustness test using a Vector Autoregressive Model (VAR) with interest rates, inflation rates and output differentials for 11 countries (relative to US) yielded the same result. There is thus little evidence that central bank bond-buying in the US had an independent, distinct impact on US interest rates.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 73, Part B, May 2017, Pages 335-349
نویسندگان
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