The Response of Interest Rates to US and UK Quantitative Easing
分析了美联储和英格兰银行宣布购买长期债务后政府债券收益率下降的原因，发现美国主要源于未来短期利率预期降低，而英国则源于期限溢价下降。
We analyse declines in government bond yields following announcements by the Federal Reserve and the Bank of England of plans to buy longer term debt. Using dynamic term structure models, we decompose US and UK yields into expectations about future short‐term interest rates and term premiums. We find that declines in US yields mainly reflected lower expectations of future short‐term interest rates, while declines in UK yields appeared to reflect reduced term premiums. Thus, the relative importance of the signalling and portfolio balance channels of quantitative easing may depend on market institutional structures and central bank communication policies.