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Effectiveness of QE: An assessment of event-study evidence

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  • Thornton, Daniel L.

Abstract

Event-studies are widely used to investigate the effectiveness of quantitative easing (QE) and the announcement effects found in this literature are widely cited as evidence that QE significantly reduced long-term yields. However, these announcement effects can be considered evidence of the effectiveness of QE in reducing long-term yields only if the announcement effects are due solely to QE news and are statistically significantly. This paper contributes to the literature by investigating whether announcement effects reported in the QE event-study literature meet this evidentiary standard.

Suggested Citation

  • Thornton, Daniel L., 2017. "Effectiveness of QE: An assessment of event-study evidence," Journal of Macroeconomics, Elsevier, vol. 52(C), pages 56-74.
    • Handle: RePEc:eee:jmacro:v:52:y:2017:i:c:p:56-74
    DOI: 10.1016/j.jmacro.2017.03.001
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    Cited by:

    1. Mahmut Çelik & Ayla Oğuş Binatlı, 2022. "How Effective Are Macroprudential Policy Instruments? Evidence from Turkey," Economies, MDPI, vol. 10(4), pages 1-17, March.
    2. Christian Pfister & Jean-Guillaume Sahuc, 2020. "Unconventional monetary policies: A stock-taking exercise," Revue d'économie politique, Dalloz, vol. 130(2), pages 137-169.
    3. Dr. Enzo Rossi & Vincent Wolff, 2020. "Spillovers to exchange rates from monetary and macroeconomic communications events," Working Papers 2020-18, Swiss National Bank.
    4. Hetzel, Robert, 2021. "The Recovery from the Great Recession: Did the FOMC Learn the Right Lessons?," Working Papers 10958, George Mason University, Mercatus Center.
    5. Gang Wang, 2019. "The Effects of Quantitative Easing Announcements on the Mortgage Market: An Event Study Approach," IJFS, MDPI, vol. 7(1), pages 1-30, February.
    6. Robert Hetzel, 2021. "The Recovery from the Great Recession: Did the FOMC Learn the Right Lessons?," Working Papers 3125, George Mason University, Mercatus Center.
    7. Beck, Roland & Duca, Ioana A. & Stracca, Livio, 2019. "Medium term treatment and side effects of quantitative easing: international evidence," Working Paper Series 2229, European Central Bank.

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    More about this item

    Keywords

    Quantitative easing; Large-scale asset purchases; FOMC; Event studies; Announcement effect;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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