Did quantitative easing affect interest rates outside the US? New evidence based on interest rate differentials. CEPS Working Document No. 416/January 2016
Data(s) |
01/01/2016
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Resumo |
This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates followed a global downward trend prior to as well as during the financial crisis. Comparing interest rate developments in the US and the eurozone, it is difficult to detect a distinct impact of the first round of the Fed’s quantitative easing programme (QE1) on US interest rates for which the global environment – the global downward trend in interest rates – does not account. Motivated by these findings, we analyse the impact of the Fed’s QE1 programme on the stability of the US-euro long-term interest rate relationship by using a CVAR (cointegrated vector autoregressive) model and, in particular, recursive estimation methods. Using data gathered between 2002 and 2014, we find limited evidence that QE1 caused the break-up or destabilised the transatlantic interest rate relationship. Taking global interest rate developments into account, we thus find no significant evidence that QE had any independent, distinct impact on US interest rates. |
Formato |
application/pdf |
Identificador |
http://aei.pitt.edu/71011/1/WD416_Did_QE_affect_interest_rates_0.pdf Belke, Ansgar and Gros, Daniel. (2016) Did quantitative easing affect interest rates outside the US? New evidence based on interest rate differentials. CEPS Working Document No. 416/January 2016. [Working Paper] |
Relação |
https://www.ceps.eu/publications/did-quantitative-easing-affect-interest-rates-outside-us-new-evidence-based-interest http://aei.pitt.edu/71011/ |
Palavras-Chave | #EU-US #monetary policy |
Tipo |
Working Paper NonPeerReviewed |