Supply and Demand Shifts of Shorts Before Fed Announcements During Qe1–Qe3

Cohen, Diether, and Malloy (Journal of Finance, 2007), find that shifts in the demand curve predict negative stock returns. We use their approach to examine changes in supply and demand at the time of FOMC announcements. We show that shifts in the demand for borrowing Treasuries and agencies predict quantitative easing. A reduction in the quantity demanded at all points along the demand curve predicts expansionary quantitative easing announcements

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Year of publication:	[2020]
Authors:	McInish, Thomas H. ; Neely, Christopher J. ; Planchon, Jade
Publisher:	[S.l.] : SSRN

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Extent:	1 Online-Ressource (11 p)
Series:	FRB St. Louis Working Paper ; No. 2020-051
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December, 2020 erstellt
Classification:	E4 - Money and Interest Rates ; E44 - Financial Markets and the Macroeconomy ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; G1 - General Financial Markets ; G18 - Government Policy and Regulation ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014351930