Portfolio balance effects and the Federal Reserve’s large-scale asset purchases
Purpose: Whereas much of previous literature focuses upon the impact on yields from the Federal Reserve’s large-scale asset purchases (LSAPs), the purpose of this paper is to study the changes to expected returns. Design/methodology/approach: This empirical investigation offers support for changes to risk premia coincident with LSAPs. Findings: For both equity and bonds, the authors find evidence for supply/demand LSAPs effects; the equity effects are consistent with a substitution effect from bonds to equities, whereas the bond effects appear to be an anomaly. Originality/value: The findings represent new insight for weighing the efficacy and identifying the scope of LSAPs.
Year of publication: |
2018
|
---|---|
Authors: | Emmerling, Thomas ; Jarrow, Robert ; Yildirim, Yildiray |
Published in: |
Studies in Economics and Finance. - Emerald, ISSN 1086-7376, ZDB-ID 2070355-7. - Vol. 35.2018, 1 (05.03.), p. 2-24
|
Publisher: |
Emerald |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Capital structure and the substitutability versus complementarity nature of leases and debt
Ambrose, Brent William, (2019)
-
Capital Structure and the Substitutability versus Complementarity Nature of Leases and Debt
Ambrose, Brent W., (2018)
-
Portfolio Balance Effects and the Equity Market
Emmerling, Thomas, (2015)
- More ...