Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230395
Authors: 
D'Amico, Stefania
Seida, Tim
Year of Publication: 
2020
Series/Report no.: 
Working Paper No. 2020-17
Abstract: 
To analyze the evolution of quantitative easingís (QE) and tighteningís (QT) e§ects across consecutive announcements, we focus on their unexpected component. Treasury yield sensitivities to QE and QT supply surprises do not fall monotonically over time, thus later announcements seemed to remain powerful; yield sensitivities to QT surprises are on average larger than sensitivities to QE surprises, implying supply e§ects did not diminish during periods of market calm amid economic expansion; Önally, yield sensitivities are ampliÖed by the amount of interest-rate uncertainty prevailing before the announcement, implying that turning points in the balance sheet policy tended to elicit larger reactions.
Subjects: 
Balance sheet policy surprises
quantitative easing and tightening
asset supply effects
JEL: 
E43
E44
E52
E58
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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