The Impact of Recent Central Bank Asset Purchase Programmes

11 Pages Posted: 8 Sep 2012

See all articles by Jack Meaning

Jack Meaning

University of Kent - Canterbury Campus

Feng Zhu

Ant Financial

Date Written: December 12, 2011

Abstract

This article analyses the effectiveness of the asset purchase programmes implemented by the Federal Reserve and the Bank of England. Both the Federal Reserve’s Large-Scale Asset Purchase (LSAP) programme and the Bank of England’s Asset Purchase Facility (APF) had a significant impact on financial markets when the first stages were announced, but the effects became smaller for later extensions of the programmes. Applying a methodology developed by D’Amico and King (2010), we estimate that the lasting reduction in bond supply via central bank asset purchases lowered government bond yields significantly. The effect is largely similar for the LSAP and the APF. Our estimations also suggest that the Federal Reserve’s new maturity extension programme (MEP) should have an effect on longer-term Treasury bond yields comparable to that of the outright asset purchases under the LSAP.

JEL Classification: E52, E63

Suggested Citation

Meaning, Jack and Zhu, Feng, The Impact of Recent Central Bank Asset Purchase Programmes (December 12, 2011). BIS Quarterly Review, December 2011, Available at SSRN: https://ssrn.com/abstract=1971210

Jack Meaning

University of Kent - Canterbury Campus ( email )

Keynes College
Canterbury, Kent CT2 7NP
United Kingdom

Feng Zhu (Contact Author)

Ant Financial ( email )

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