Template-type: ReDIF-Paper 1.0
Author-Name: Jens H. E. Christensen
Author-Name-First: Jens H. E.
Author-Name-Last: Christensen
Author-Person: pch1126
Author-Name: Signe Krogstrup
Author-Name-First: Signe
Author-Name-Last: Krogstrup
Author-Person: pkr44
Title: Transmission of Quantitative Easing: The Role of Central Bank Reserves
Abstract: We argue that the issuance of central bank reserves per se can matter for the effectof central bank large-scale asset purchases-commonly known as quantitative easing- on long-term interest rates. This effect is independent of the assets purchased, and runs through a reserve-induced portfolio balance channel. For evidence we analyze the reaction of Swiss long-term government bond yields to announcements by the Swiss National Bank to expand central bank reserves without acquiring any long-lived securities. We find that declines in long-term yields following the announcements mainly reflected reduced term premiums suggestive of reserve-induced portfolio balance effects.
Length: 60 pages
Creation-Date: 2015
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2015/working_paper_2015_06
File-Format: text/html
Number: 2015-06
Classification-JEL: G12, E43, E52, E58
Keywords: Unconventional monetary policy, reserve-induced portfolio balance channel, term structure modeling
Handle: RePEc:snb:snbwpa:2015-06