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

DOI10.1007/S11147-014-9099-7zbMATH Open1300.91054OpenAlexW3094888784WikidataQ125279049 ScholiaQ125279049MaRDI QIDQ475332FDOQ475332

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

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

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)

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure
• Mathematical methods for financial markets.
• Interest rate models -- theory and practice. With smile, inflation and credit
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Title not available (Why is that?)
• A liquidity-based model for asset price bubbles

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
• Liquidity risk and the term structure of interest rates
• 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

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