nber-the signaling channel for fed bond pruchase英文资料.pdf

The Signaling Channel for
Federal Reserve Bond Purchases∗
Michael D. Bauer,† Glenn D. Rudebusch‡
First draft: September 14, 2011
This version: May 24, 2012
Abstract
Previous research has emphasized the portfolio balance effects of Federal Reserve bond
purchases, in which a reduced bond supply lowers term premia. In contrast, we find
that such purchases have important signaling effects that lower expected future short-
term interest rates. Our es from a model-free analysis and from dynamic
term structure models that pose declines in yields following Fed announcements
into changes in risk premia and expected short rates. To e problems in measur-
ing term premia, we consider bias-corrected model estimation and restricted risk price
estimation. We also characterize the estimation uncertainty regarding the relative im-
portance of the signaling and portfolio balance channels.
Keywords: ary policy, zero lower bound, quantitative easing, LSAP, signaling,
portfolio balance, arbitrage-free
JEL Classifications: E43, E52
∗The views expressed herein are those of the authors and not necessarily shared by others at the Federal
Reserve Bank of San Francisco or in the Federal Reserve System.
†Federal Reserve Bank of San Francisco, michael.******@sf.
‡Federal Reserve Bank of San Francisco, glenn.******@sf.
1 Introduction
During the recent financial crisis and ensuing deep recession, the Federal Reserve reduced its
target for the federal funds rate—the traditional tool of . ary policy—essentially to
the lower bound of zero. In the face of deteriorating economic conditions and with no scope
for further cuts in short-term interest rates, the Fed initiated an unprecedented expansion of
its balance sheet by purchasing large amounts of Treasury debt and federal agency securities
of medium and long Other central banks parable circumstances have taken
broadly similar actions. Notably, the Bank of England also purchased longer-ter