The impact of quantitative easing on the US term structure of interest rates

DOI10.1007/S11147-014-9099-7MaRDI QIDQ475332zbMATH OpenOpenAlexWikidataFDO

Authors Hao Li, Robert A. Jarrow

Publication date 26 November 2014

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-014-9099-7

zbMATH Keywords

quantitative easingterm structure of interest ratesarbitrage-free modelslarge traderquantity impact on price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• The impact of quantitative and qualitative easing on term structure: evidence from micro-level data
• Effects of US quantitative easing on emerging market economies
• The macroeconomic effects of quantitative easing in the euro area: evidence from an estimated DSGE model
• How Quantitative Easing Works: Evidence on the Refinancing Channel
• Time Consistency and Duration of Government Debt: A Model of Quantitative Easing

Cites work

• scientific article; zbMATH DE number 947803 (Why is no real title available?)
• A liquidity-based model for asset price bubbles
• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Interest rate models -- theory and practice. With smile, inflation and credit
• Mathematical methods for financial markets.

Cited in

(6)

• The impact of quantitative and qualitative easing on term structure: evidence from micro-level data
• On the effect of Bank of Japan's outright purchase on the JGB yield curve
• Effects of US quantitative easing on emerging market economies
• The macroeconomic effects of the ECB's evolving QE programme: a model-based analysis
• How Quantitative Easing Works: Evidence on the Refinancing Channel
• Liquidity risk and the term structure of interest rates

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