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

DOI10.1007/S11147-014-9099-7zbMath1300.91054OpenAlexW3094888784WikidataQ125279049 ScholiaQ125279049MaRDI QIDQ475332

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

term structure of interest ratesquantitative easingarbitrage-free modelslarge traderquantity impact on price

Mathematics Subject Classification ID

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

Related Items (2)

On the effect of Bank of Japan's outright purchase on the JGB yield curve ⋮ Liquidity risk and the term structure of interest rates

Cites Work

• Unnamed Item
• Mathematical methods for financial markets.
• Interest rate models -- theory and practice. With smile, inflation and credit
• A liquidity-based model for asset price bubbles
• 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
• An equilibrium characterization of the term structure

This page was built for publication: The impact of quantitative easing on the US term structure of interest rates