Unexpected Supply Effects of Quantitative Easing and Tightening
研究了量化宽松和紧缩政策在连续公告中意外成分的演变，发现国债收益率对紧缩供给冲击的敏感度平均大于对宽松的敏感度，且供给效应在市场平静期并未减弱。
Abstract To analyse the evolution of the effects of quantitative easing and tightening across consecutive announcements, we focus on their unexpected component. Treasury yield sensitivities to quantitative tightening supply surprises are on average larger than sensitivities to quantitative easing surprises, implying that supply effects did not diminish during periods of market calm amid economic expansion. Yield sensitivities to later quantitative easing and tightening surprises do not fall monotonically, and thus supply shocks seemed to remain powerful. Finally, yield sensitivities are amplified by the amount of interest rate uncertainty prevailing before announcements, implying that turning points in the balance sheet policy tended to elicit larger reactions.