Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/157967
Authors: 
De Rezende, Rafael B.
Year of Publication: 
2016
Series/Report no.: 
Sveriges Riksbank Working Paper Series 324
Abstract: 
I analyze the recent experience of unconventional monetary policy in Sweden to study the interest rate transmission mechanisms of government bond purchases when interest rates are not constrained by a lower bound. Using dynamic term structure models and event study regressions I find that government bond purchases have important portfolio balance and signaling effects. The signaling channel operates mainly by lowering short-rate expectations in the intermediate segment of the yield curve, while the portfolio balance channel is effective in lowering longer maturity term premia. In addition, I find that target interest rate policy and government bond purchases operate in different segments of the yield curve. This suggests that a combination of the two policies can be used to lower interest rates across the whole maturity spectrum, making monetary policy more expansionary.
Subjects: 
quantitative easing
signaling channel
portfolio balance channel
yield curve
dynamic affine term structure models
short rate expectations
term premium
JEL: 
E43
E44
E52
Document Type: 
Working Paper

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