中文摘要
为分析量化宽松与量化紧缩效应在连续公告之间的演变,我们聚焦于其意外成分。国债收益率对量化紧缩供给意外的敏感度平均而言大于对量化宽松意外的敏感度,这意味着在经济扩张时期的市场平静阶段,供给效应并未减弱。收益率对后期量化宽松与量化紧缩意外的敏感度并未单调下降,因此供给冲击似乎依然强劲。最后,收益率敏感度会因公告前存在的利率不确定性水平而被放大,这意味着资产负债表政策的转折点往往引发更大的反应。
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.