Does quantitative easing affect market liquidity?
نویسندگان
چکیده
We argue that central bank large-scale asset purchases—commonly known as quantitative easing (QE)—can reduce priced frictions to trading through a liquidity channel operates by temporarily increasing the bargaining power of sellers in market for targeted securities. For evidence we analyze how Federal Reserve’s second QE program included purchases Treasury inflation-protected securities (TIPS) affected measure premiums TIPS yields and inflation swap rates. find that, duration program, premium averaged about 10 basis points lower than expected. This suggests can improve liquidity.
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Does Quantitative Easing Affect Market Liquidity?
The second round of large-scale asset purchases by the Federal Reserve—frequently referred to as QE2—included repeated purchases of Treasury inflation-protected securities (TIPS). To quantify the effect QE2 had on the functioning of the TIPS market and the related market for inflation swaps, we exploit the measure of combined liquidity premiums in TIPS yields and inflation swap rates derived by...
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ژورنال
عنوان ژورنال: Journal of Banking and Finance
سال: 2022
ISSN: ['1872-6372', '0378-4266']
DOI: https://doi.org/10.1016/j.jbankfin.2021.106349