| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14841 |
| DP14841 An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies | |
| Jonathan Hartley; Alessandro Rebucci | |
| 发表日期 | 2020-06-02 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Amid the COVID-19 outbreak and related expected economic downturn, many developed and emerging market central banks around the world engaged in new long-term asset purchase programs, or so-called quantitative easing (QE) interventions. This paper conducts an event-study analysis of 24 COVID-19 QE announcements made by 21 global central banks on their local 10-year government bond yields. We find that the average developed market QE announcement had a statistically significant -0.14% 1-day impact, which is slightly smaller than past interventions during the Great Recession era. In contrast, the average impact of emerging market QE announcements was significantly larger, averaging -0.28% and -0.43% over 1-day and 3-day windows, respectively. Across developed and emerging bond markets, we estimate an overall average 1-day impact of -0.23%. We also show that all 10-year government bond yields in our sample rose sharply in mid-March 2020, but fell substantially after the period of QE announcements that we study in the paper. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Bond interest rates Central banks Covid-19 Event study International bond markets monetary policy Policy announcements Quantitative easing |
| URL | https://cepr.org/publications/dp14841 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543775 |
| 推荐引用方式 GB/T 7714 | Jonathan Hartley,Alessandro Rebucci. DP14841 An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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