Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/197951
Authors: 
Díez de los Ríos, Antonio
Shamloo, Maral
Year of Publication: 
2017
Series/Report no.: 
Bank of Canada Staff Working Paper 2017-26
Abstract: 
We compare the Federal Reserve's asset purchase programs with those implemented by the Bank of England and the Swedish Riksbank, and the Swiss National Bank's reserve expansion program. We decompose government bond yields into (i) an expectations component, (ii) a global term premium and (iii) a country-specific term premium to analyze two-day changes in 10-year yields around announcement dates. We find that, in contrast to the Federal Reserve's asset purchases, the programs implemented in these smaller economies have not been able to affect the global term premium and, consequently, their effectiveness in lowering long-term yields has been limited.
Subjects: 
Financial markets
Interest rates
Monetary policy
JEL: 
E43
E52
E58
G12
Document Type: 
Working Paper
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