Unbundling Quantitative Easing: Taking a Cue from Treasury Auctions
研究了美联储量化宽松通过偏好栖息渠道影响经济的效果，利用高频识别和国债一级市场结构隔离需求冲击，发现金融市场受扰时收益率曲线局部效应显著，量化宽松对产出和通胀有温和刺激作用。
We study the role of preferred habitat in understanding the economic effects of the Federal Reserve’s quantitative easing (QE). Using high-frequency identification and exploiting the structure of the primary market for US Treasuries, we isolate demand shocks that are transmitted solely through preferred habitat channels but otherwise mimic QE shocks. We document large localized yield curve effects when financial markets are disrupted. Our calibrated model, which embeds preferred habitat in a New Keynesian framework, can largely account for the observed financial effects of QE. QE is modestly stimulative for output and inflation, but alternative policy designs can generate stronger effects.