An Analysis of the VIX Volatility Index on the US Treasuries, Specifically During the Periods of Quantitative Easing

2015 ◽  
Author(s):  
Carolyne Soper
Keyword(s):  
Quantitative Easing ◽  
Volatility Index ◽  
The Us

Assessing the Macroeconomic Effects of Quantitative Easing: Empirical Evidence from the Federal Reserve’s Experience

2019 ◽  
Vol 67 (3-4) ◽  
pp. 233-245
Author(s):  
Achille Dargaud Fofack ◽  
Ahmet Aker ◽  
Husam Rjoub ◽  
Amin Sokhanvar
Keyword(s):  
Stock Prices ◽  
Economic Activity ◽  
The United States ◽  
Quantitative Easing ◽  
Structural Vector Autoregression ◽  
Monthly Data ◽  
Svar Model ◽  
The Us ◽  
Us Dollar ◽  
Structural Vector

This article aims at assessing the effects of the Federal Reserve’s quantitative easing (QE) programmes on both economic activity and prices in the United States. Using a structural vector autoregression (SVAR) model on monthly data from January 2007 to March 2017, it is assumed that a substantial fraction of the liquidity injected under the Federal Reserve’s quantitative easing programmes was used to artificially inflate stock prices. Furthermore, QE is assumed to be a competitive devaluation programme. The findings reveal that QE helps support economic activity, while its effect on inflation is rather small and insignificant. Besides, it is also found that QE boosts stock prices but does not have a significant effect on the US dollar.

Even gradual quantitative tightening raises GDP risks

2019 ◽  
Keyword(s):  
Euro Area ◽  
Commercial Banks ◽  
Large Scale ◽  
Sales Tax ◽  
Quantitative Easing ◽  
Content Type ◽  
Balance Sheets ◽  
Liquidity Provision ◽  
The Us ◽  
Repurchase Agreements

Subject Quantitative easing and GDP. Significance The US Federal Reserve (Fed), Bank of Japan (BoJ) and ECB have all conducted quantitative easing (QE) programmes since 2008, purchasing assets from commercial banks on a large scale and without predefined repurchase agreements. These purchases have swollen the balance sheets of the three largest central banks and provided commercial banks with large liquidity buffers. Impacts The pace of the Fed withdrawing liquidity may slow; if US-China conflict worsens or another shock occurs, the Fed may consider reversing. In the euro-area, there are no new liquidity provisions, at a time when German GDP is weakening and Brexit threatens EU growth. New liquidity-provision plans may be hard for the euro-area to agree; if this is off the table, so are liquidity-withdrawing measures. The BoJ may stop scaling back its bond and ETF holdings if markets suffer; the upcoming sales tax rise will also hit spending.

Loose policy outside US will check bond sell-off

2017 ◽  
Keyword(s):  
Federal Reserve ◽  
Tax Reform ◽  
Emerging Market ◽  
Quantitative Easing ◽  
Treasury Bonds ◽  
Content Type ◽  
Volatility Index ◽  
Bank Of Japan ◽  
Bond Funds

Significance The pace is partly being checked by continued Bank of Japan (BoJ) and ECB quantitative easing (QE). Benchmark ten-year Treasury yields have gained around 30 basis points (bp) since August but Japanese and German yields have risen far less. US bonds are being strained by the Federal Reserve (Fed)'s more hawkish stance and the prospects of even modest tax reform, but investors scepticism about the pace of tightening is suppressing volatility. Impacts Gradual monetary tightening is unlikely to stir the volatility index from its near-20-year low but a sudden sharp shock could. Inflows into emerging market bond funds in 2017 are on track to exceed their 2012 high of 103 billion dollars despite uncertain prospects. There is scant evidence yet that the ‘reflation trade’ is back; ten-year Treasury bonds are still nearly 25 bp below March levels. Timing and triggers of a US equities downturn are hard to predict; two potential triggers are a US policy mistake and ECB miscommunication.

A flow of funds analysis of the US quantitative easing

2018 ◽  
Vol 30 (2) ◽  
pp. 137-177 ◽  
Author(s):  
Kazusuke Tsujimura ◽  
Masako Tsujimura
Keyword(s):  
Quantitative Easing ◽  
Flow Of Funds ◽  
The Us

scholarly journals Spillovers of US unconventional monetary policy: quantitative easing, spreads, and international financial markets

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Zekeriya Yildirim ◽  
Mehmet Ivrendi
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Risk Taking ◽  
Large Scale ◽  
Emerging Market ◽  
Spillover Effects ◽  
International Financial Markets ◽  
Quantitative Easing ◽  
Unconventional Monetary Policy ◽  
The Us

AbstractThis study investigates the international spillover effects of US unconventional monetary policy (UMP)—frequently called large-scale asset purchases or quantitative easing (QE)—on advanced and emerging market economies, using structural vector autoregressive models with high-frequency daily data. Blinder (Federal Reserve Bank of St. Louis Rev 92(6): 465–479, 2010) argued that the QE measures primarily aim to reduce US interest rate spreads, such as term and risk premiums. Considering this argument and recent empirical evidence, we use two spreads as indicators of US UMP: the mortgage and term spreads. Based on data from 20 emerging and 20 advanced countries, our empirical findings reveal that US unconventional monetary policies significantly affect financial conditions in emerging and advanced countries by altering the risk-taking behavior of investors. This result suggests that the risk-taking channel plays an important role in transmitting the effects of these policies to the rest of the world. The extent of these effects depends on the type of QE measures. QE measures such as purchases of private sector securities that lower the US mortgage spread exert stronger and more significant spillover effects on international financial markets than those that reduce the US term spread. Furthermore, the estimated financial spillovers vary substantially across countries and between and within the emerging and advanced countries that we examine in this study.

scholarly journals Spillover effect of United States Monetary Policy on Nigeria’s Financial and Macro Fundamentals

2020 ◽  
pp. 111-145
Author(s):  
Patterson C. Ekeocha ◽  
Elias A. Udeaja
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Policy Process ◽  
Inflation Rate ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Conditional Variance ◽  
Quantitative Easing ◽  
External Shocks ◽  
The Us

This paper examines spillover effects of U.S monetary policy on macroeconomic fundamentals in Nigeria from January 1985 to December 2018. The study period is partitioned to account for conventional monetary policy (CMP) period, January 1985 to August 2007 and unconventional monetary policy (UMP) period, September 2007 to December 2018. Guided by relevant pre-tests, we find BEKK-VARMA-CCCMGARCH as the most appropriate model. The study finds significant spillover effects of U.S CMP and UMP on interest rate, exchange rate and inflation rate in Nigeria. We, however, observe that while CMP may be a significant accelerator of shocks persistence on interest rates and exchange rates, the extent to which the UMP accelerate shocks in inflation rate tends to vary for different measures of quantitative easing. Thus, in addition to past own shocks and past own conditional variance of these macro fundamentals, understanding their dynamics cannot be in isolation of their vulnerability to external shocks and volatility due to spillover effects of monetary actions in other economies. In formulating monetary policy, it is therefore, imperative for the Central Bank of Nigeria to monitor the monetary policy process of the US to hedge against shocks spillovers.

ECB QE and growth may obscure Polish political risk

2015 ◽  
Keyword(s):  
Financial Markets ◽  
Interest Rates ◽  
Federal Reserve ◽  
Economic Recovery ◽  
Coalition Government ◽  
Parliamentary Election ◽  
Quantitative Easing ◽  
Content Type ◽  
Inconclusive Result ◽  
The Us

Significance Having fallen against the resurgent dollar this year, the zloty has lately been strengthening, since the US Federal Reserve surprised financial markets by striking a more dovish stance than expected on both the timing and pace of the anticipated tightening in monetary policy. While the zloty and Polish stocks had suffered because of fears of a rise in US interest rates, local bonds have been underpinned by the ECB's quantitative easing (QE) programme. The effects of QE and a brisker economic recovery may temporarily offset the risk of an inconclusive result in the parliamentary election in October. Impacts Investors have yet to price in the risk of a hung parliament in Poland following October's election. The vote could lead to the formation of a weak and unstable coalition government. The risk of an unstable coalition is particularly high, given the strong likelihood that PO's share of the vote will decline sharply.

SNB move will accentuate bond-equity divergence

2015 ◽  
Keyword(s):  
Euro Area ◽  
Yield Curve ◽  
Equity Markets ◽  
Bond Markets ◽  
Quantitative Easing ◽  
Bond Yields ◽  
Content Type ◽  
Sovereign Bond ◽  
Advanced Economies ◽  
The Us

Significance The move mainly aims to pre-empt the widely anticipated launch of a sovereign quantitative easing (QE) programme by the ECB on January 22. However, it will accentuate divergences between bond and equity markets. Sovereign bond yields for most advanced economies are falling to new lows and are increasingly negative at the shorter end of the yield curve, because of deflation fears and lacklustre growth outlooks. Yet equity markets are hovering near record highs, buoyed by the US recovery and expectations of further monetary stimulus in the euro-area. Impacts Bond markets will be driven by deflation fears, while equity markets, especially US stocks, will be buoyed by Goldilocks-type conditions. Market expectations that the ECB will launch a sovereign QE programme will make bond yields fall further. Bond yields will be suppressed by investor scepticism about the ECB's ability to reflate the euro-area economy.

Prospects for emerging economies in 2016

2015 ◽  
Keyword(s):  
Emerging Markets ◽  
Emerging Economies ◽  
Federal Reserve ◽  
Quantitative Easing ◽  
Fiscal Deficits ◽  
Content Type ◽  
Economic Fundamentals ◽  
The Us ◽  
Lift Off ◽  
Public Debts

Subject Prospects for emerging economies in 2016. Significance Emerging markets (EMs) face formidable headwinds as their economic fundamentals deteriorate and the US rates 'lift-off' gets closer: China's slowing growth, the commodity sell-off, investment cuts, depreciating currencies and high debt levels, especially dollar-denominated debt. Neither a delay in the Federal Reserve (Fed) rate rise nor the forthcoming quantitative easing (QE) extension by the ECB will provide long-lasting respite amid widening fiscal deficits and rising public debts.

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