Open Access

The True Nature of the Portfolio Balance Channel of Quantitative Easing Policy

   | Jun 26, 2019

Cite

ALBERTAZZI, U., BECKER, B. BOUCINHA, M. (2018). Portfolio rebalancing and the transmission of large-scale asset programs: Evidence from the euro area. European Central Bank Working Paper, No. 2125, November.10.2139/ssrn.3116084Search in Google Scholar

ALTAVILLA, C., CARBONI, G., MOTTO, R. (2015). Asset Purchase Programmes and Financial Markets: Lessons from the Euro Area. European Central Bank Working Paper, No. 1864, November.10.2139/ssrn.2717398Search in Google Scholar

ANDREWS, D. (1991). Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation. The Econometric Society. Econometrica, Vol. 59, No. 3, pp. 817-858. DOI: 10.2307/293822910.2307/2938229Open DOISearch in Google Scholar

ARRATA, W., NGUYEN, B. (2017). Price impact of bond supply shocks: Evidence from the Eurosystem’s asset purchase program. Banque de France Working Paper, No. 623, March.10.2139/ssrn.2952363Search in Google Scholar

BAUER, M., RUDEBUSCH, G. (2014). The Signaling Channel for Federal Reserve Bond Purchases. International Journal of Central Banking, Vol. 10(3), pages 233-289, September.Search in Google Scholar

BAZ, J., SAPRA, S., RAMIREZ, G. (2018). Stocks, Bonds and Causality. Pimco Quantitative research, March.Search in Google Scholar

BERNANKE, B. (2010). The Economic Outlook and Monetary Policy. 27 August, Federal Reserve Bank of Kansas City Economic Symposium, Jackson Hole, Wyoming.Search in Google Scholar

BERNANKE, B. (2012). Monetary Policy since the Onset of the Crisis. 31 August, Federal Reserve Bank of Kansas City Economic Symposium, Jackson Hole, Wyoming.Search in Google Scholar

BRUNNERMEIER, M., SANNIKOV, Y. (2014). A Macroeconomic Model with a Financial Sector. American Economic Review, 104 (2): 379-421. DOI: 10.1257/aer.104.2.37910.1257/aer.104.2.379Open DOISearch in Google Scholar

BUA, G., DUNNE, P. (2017). The Portfolio Rebalancing Effects of the ECB’s Asset Purchase Programme. Central Bank of Ireland Research Technical Papers, 07/RT/17.10.2139/ssrn.2993136Search in Google Scholar

CARPENTER, S., DEMIRALP, S., IHRIG, J., KLEE, E. (2015). Analyzing Federal Reserve asset purchases: From whom does the Fed buy?. Journal of Banking & Finance, vol. 52(C), pages 230-244.10.1016/j.jbankfin.2014.04.029Search in Google Scholar

CARPENTER, S., DEMIRALP, S., IHRIG, J., KLEE, E. (2013). Analyzing Federal Reserve asset purchases: From whom does the Fed buy?. Federal Reserve Board Finance and Economics Discussion Series 2013-32, Washington. DOI: 10.1016/j.jbankfin.2014.04.02910.1016/j.jbankfin.2014.04.029Open DOISearch in Google Scholar

CHRISTENSEN, J., KROGSTRUP, S. (2016). Transmission of Quantitative Easing: The Role of Central Bank Reserves. Swiss National Bank Working Papers, 2015-06.10.24148/wp2014-18Search in Google Scholar

CHRISTENSEN, J., RUDEBUSCH, G. (2012). The Response of Interest Rates to US and UK Quantitative Easing. The Economic Journal, Vol. 122, Issue 564. DOI: 10.1111/j.1468-0297.2012.02554.x10.1111/j.1468-0297.2012.02554.xOpen DOISearch in Google Scholar

CŒURÉ, B. (2017). The international dimension of the ECB’s asset purchase programme. Foreign Exchange Contact Group meeting, 11 July, Frankfurt.Search in Google Scholar

COIMBRA, N., REY, H. (2019). Financial Cycles with Heterogeneous Intermediaries. NBER Working Paper, No. 23245, January.Search in Google Scholar

CÚRDIA, V., WOODFORD, M. (2011). The central bank balance sheet as an Instrument of monetary policy, Journal of Monetary Economics, vol. 58(1), p. 54-79, January. DOI: 10.1016/j.jmoneco.2010.09.01110.1016/j.jmoneco.2010.09.011Open DOISearch in Google Scholar

D’AMICO, S., KING, T. (2010). Flow and Stock Effects of Large-Scale Treasury Purchases. Federal Reserve Finance and Economics Discussion Series, No. 52, Washington, D.C.10.17016/FEDS.2010.52Search in Google Scholar

D’AMICO, S., KING, T. (2013). Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply, Journal of Financial Economics, Elsevier, vol. 108(2), p. 425-448. DOI: 10.1016/j.jfineco.2012.11.00710.1016/j.jfineco.2012.11.007Open DOISearch in Google Scholar

ECB (2015). Decision (EU) 2015/10 of the European Central Bank on a secondary markets public sector asset purchase programme. ECB. 4 March.Search in Google Scholar

ECB (2016). Decision (EU) 2016/16 of the European Central Bank on the implementation of the corporate sector purchase programme. ECB. 1 June.Search in Google Scholar

ECB. (2018). Monetary policy decision. ECB, Directorate General Communications, 13 December.Search in Google Scholar

GAGNON, J., RASKIN, M., REMACHE, J., SACK, B. (2011). The Financial Market Effects of the Federal Reserve’s Large-Scale Asset Purchases. International Journal of Central Banking, March.Search in Google Scholar

GAMBETI, L., MUSSO, A. (2017). The macroeconomic impact of the ECB’s expanded asset purchase programme. European Central Bank Working Paper, No. 2075, June.10.2139/ssrn.2985385Search in Google Scholar

GLICK, R., LEDUC, S. (2011). Central Bank Announcements of Asset Purchases and the Impact on Global Financial and Commodity Markets. Federal Reserve Bank of San Francisco Working Paper. No. 30, December.Search in Google Scholar

HALDANE, A., ROBERTS-SKLAR, M., WIELADEK, T., YOUNG, C. (2016). QE: the story so far. Bank of England Working Paper, No. 624, October.10.2139/ssrn.2858204Search in Google Scholar

HAMILTON, J., WU, J. (2011). The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment. NBER Working Paper, No. 16956, April.10.3386/w16956Search in Google Scholar

HOGEN, Y., SAITO, M. (2015). Portfolio Rebalancing Following the Bank of Japan’s Government Bond Purchases: Empirical Analysis Using Data on Bank Loans and Investment Flows. Bank of Japan Research Papers, 14-06-19, June.Search in Google Scholar

JOYCE, M., LASAOSA, A., STEVENS, I., TONG, M. (2011). The Financial Market Impact of Quantitative Easing in the United Kingdom. International Journal of Central Banking, Vol. 7(3), p. 113-161, September.Search in Google Scholar

JOYCE, M., LIU, Z., TONKS, I. (2014). Institutional investor portfolio allocation, quantitative easing and the global financial crisis. Bank of England Working Paper, No. 510, September.Search in Google Scholar

KEELE, L., KELLY, N. (2006). Dynamic Models for Dynamic Theories: The Ins and Outs of Lagged Dependent Variables. Political Analysis, Vol. 14, No. 2, pp. 186-205. DOI: 10.1093/pan/mpj00610.1093/pan/mpj006Open DOISearch in Google Scholar

KRISHNAMURTHY, A., VISSING-JORGENSEN, A. (2011). The Effects of Quantitative Easing on interest rates: Channels and implications for policy. NBER Working Paper, No. 17555, October.10.3386/w17555Search in Google Scholar

KOIJEN, R., KOULISCHER, F., NGUYEN, B., YOGO, M. (2018). Inspecting the Mechanism of Quantitative Easing in the Euro Area. Banque de France Working Paper, No. 601, February.10.3386/w26152Search in Google Scholar

MODIGLIANI, F., SUTCH, R. (1966), Innovations in Interest-Rate Policy. American Economic Review, Vol. 56, p. 178-197.Search in Google Scholar

PESARAN, M., SMITH, R. (2012). Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing, CESifo Working Paper Series, No. 3879, CESifo Group Munich, June.10.2139/ssrn.2085205Search in Google Scholar

SCHLEPPER, K., HOFER, H., RIORDAN, R., SCHRIMPF, A. (2017). Scarcity effects of QE: A transaction-level analysis in the Bund market, Deutsche Bundesbank Discussion Papers. No. 6, June.10.2139/ssrn.2956675Search in Google Scholar

VAYANOS, D., VILA, J. (2009). A Preferred Habitat Model of the Term Structure of Interest Rates. NBER Working Paper, No. 15487, November.10.3386/w15487Search in Google Scholar

eISSN:
1804-1663
Language:
English
Publication timeframe:
4 times per year
Journal Subjects:
Business and Economics, Political Economics, Economic Theory, Systems and Structures