Does Quantitative Easing Affect Market Liquidity?

Christensen, Jens H. E.; Gillan, James M.

doi:10.24148/wp2013-26

Cited by 50 publications

(38 citation statements)

References 24 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…To the best of our knowledge, no previous models take these standard features of money 1 See also Joyce et al (2011), Hamilton and Wu (2012), Thornton (2014), and Neely (2015) for discussions. 2 There is another potential channel for QE to work, namely through its effect on liquidity and market functioning; see Kandrac (2014) and Christensen and Gillan (2015) for discussions and analysis in the context of U.S. QE programs.…”

Section: Introductionmentioning

confidence: 99%

Transmission of Quantitative Easing: The Role of Central Bank Reserves

Christensen¹,

Krogstrup²

2016

ERWP

View full text Add to dashboard Cite

We argue that the issuance of central bank reserves per se can matter for the effect of central bank large-scale asset purchases-commonly known as quantitative easingon long-term interest rates. This effect is independent of the assets purchased, and runs through a reserve-induced portfolio balance channel. For evidence we analyze the reaction of Swiss long-term government bond yields to announcements by the Swiss National Bank to expand central bank reserves without acquiring any long-lived securities. We find that declines in long-term yields following the announcements mainly reflected reduced term premiums suggestive of reserve-induced portfolio balance effects.JEL Classification: G12, E43, E52, E58

show abstract

Section: Introductionmentioning

confidence: 99%

Transmission of Quantitative Easing: The Role of Central Bank Reserves

Christensen¹,

Krogstrup²

2016

ERWP

View full text Add to dashboard Cite

show abstract

“…The survey also presents potential directions for future research like, for instance, term structure models that account for the zero lower bound in nominal yields but allow for negative ILB yields. Similarly, in‐depth analyses of the ILB liquidity premium (like Coroneo, or Christensen and Gillan, , for instance) and its determinations are still necessary because the premium's elimination would allow Treasuries to save an enormous amount of money by issuing ILB. Finally, topics like recent finance‐based approaches (rather than macro‐economic models) to measure the equilibrium real rate (see, e.g.…”

Section: Resultsmentioning

confidence: 99%

“…Both Coroneo (2016) and Christensen and Gillan (2017) analyse how large-scale asset purchases by the central bank-known as quantitative easing-have an effect on the US ILB market. Christensen and Gillan (2017) combine, analogous to Christensen and Gillan (2012), inflation swaps with ILB yields to construct their measure of liquidity premium and apply an event study methodology to analyse the effect of the quantitative easing programme. Without going into detail, the authors find that asset purchases have temporarily lowered the liquidity premium in ILB yields and inflation swaps.…”

Section: Impact Of Liquiditymentioning

confidence: 99%

Estimating Inflation Risk Premia Using Inflation‐linked Bonds: A Review

Kupfer

2018

Journal of Economic Surveys

View full text Add to dashboard Cite

Abstract. This paper provides an overview of studies that estimate the inflation risk premium using inflation-linked bond (ILB) yields. I categorize existing studies, outline their research designs and compare their estimates for the inflation risk premium. Furthermore, the importance of accounting for ILB illiquidity and an overview of existing ILB liquidity proxies are demonstrated. A discussion of current literature developments, such as the zero lower bound, and an outline for future research directions conclude the paper.

show abstract

“…10 We ignore the small amount of inflation-indexed, Treasury inflation protected securities (TIPS) discussed in Christensen and Gillan (2014 approaches-on the order of 5% for all securities as shown in Table 1-suggests that a comparison based on the face value of the securities should not be much affected by the accounting treatment. 10 We ignore the small amount of inflation-indexed, Treasury inflation protected securities (TIPS) discussed in Christensen and Gillan (2014 approaches-on the order of 5% for all securities as shown in Table 1-suggests that a comparison based on the face value of the securities should not be much affected by the accounting treatment.…”

Section: The Fed's Securities Portfoliomentioning

confidence: 99%

A probability-based stress test of Federal Reserve assets and income

Christensen

López

Rudebusch

2015

Journal of Monetary Economics

View full text Add to dashboard Cite

a b s t r a c tTo support the economic recovery, the Federal Reserve amassed a large portfolio of longterm bonds. We assess the Fed's associated interest rate risk-including potential losses to its Treasury and mortgage-backed securities holdings and declines in the Fed's remittances to the Treasury. In assessing this interest rate risk, we use probabilities of alternative interest rate scenarios that are obtained from a dynamic term structure model that respects the zero lower bound on yields. The resulting probability-based stress tests indicate that large portfolio losses or a cessation of remittances to the Treasury are unlikely to occur over the next few years.Published by Elsevier B.V.

show abstract

Does Quantitative Easing Affect Market Liquidity?

Cited by 50 publications

References 24 publications

Transmission of Quantitative Easing: The Role of Central Bank Reserves

Transmission of Quantitative Easing: The Role of Central Bank Reserves

Estimating Inflation Risk Premia Using Inflation‐linked Bonds: A Review

A probability-based stress test of Federal Reserve assets and income

Contact Info

Product

Resources

About