Quantitative Easing Research Papers - Academia.edu (original) (raw)

This paper is an attempt to conduct an analysis of the origins and the primary outcomes of ‘Quantitative Easing’ that European Central Bank has been implementing since March 2015.
The aim of the paper is to show the effectiveness of Quantitative Easing and the responsiveness of the Eurozone to obtain the expected results. Although the general idea is that QE effectively sustained economic recovery from the 2012 Global Financial Crisis, some critiques have been enhanced by academics: all these important evaluations would be taken into account in the completion of this work.
The analysis will be conducted through the usage of updated statistics regarding the main macroeconomic indicators which might assess either the results either the prospects or the consequences which Eurozone would face after QE’s ending in the short-run.

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- European Studies, Economics, European Union, Monetary Policy
- by zakaria moussa
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- Monetary Policy, Quantitative Easing, Interest Rate, Yield Curve
- by Marek Dabrowski
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- Economic Growth, Emerging Market, Quantitative Easing

The paper examines the investment activities of Swiss National Bank during last years and especially what is the nature of these activities, what is their scope, what are their financial grounds, what possible consequences could they lead to, and why are they so disconcerting for the financial world. The study finds that the Swiss National Bank operates as a quasi-government hedge fund following the global macro investment strategy. In fact the SNB is increasing the Swiss francs in circulation in order to make investments in foreign debt instrument and stocks. The study states that such kind of interventions from the leading central banks in the world in the pricing mechanism of global financial markets can reduce the scope of operations of portfolio managers and turn investing into a constant game of guesswork and tracking the behaviour of certain central banks or juggling with investment assets which actual value is unknown and immeasurable and more impornant - to lead to investment bubbles, financial and economic crises.

- by Alexander Ganchev
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- Hedge Funds, Quantitative Easing, Hedge Fund, Swiss National Bank
- by Sini Matikainen
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- Quantitative Easing
- by Ibrahim Stevens
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- Economics, Social Science Research Network, Vector Autoregression, Change Point
- by Achille D Fofack
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- Economics, Central Banking, Quantitative Easing, US economy

Le misure non convenzionali di espansione monetaria e, in particolare, il quantitative easing hanno consentito ai paesi che le hanno adottate di attutire le conseguenze della crisi. Tanto i loro benefici quanto i loro costi si sono distribuiti in modo ineguale sia all'interno di quei paesi, sia rispetto alle altre economie, con particolare riguardo a quelle emergenti. La liquidità immessa nel sistema rappresenta una minaccia per la stabilità finanziaria futura e determina un aumento della pressione dei paesi emergenti per il superamento del sistema monetario attuale.

- by Nicolas Zeolla and +1
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- Developing Countries, Capital Controls, Quantitative Easing, Sovereign Debt restructuring

This essay will consist of two major parts. Firstly, various roles and functions of central banks will be presented, with particular focus on the recent years. Secondly, complexities of the central banking functions and monetary policy will be analysed, considering the extent to which Artificial Intelligence is (un)prepared to perform them autonomously in the foreseeable future (up to 2030).

- by Angel Versetti
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- Finance, Computer Science, Computer Architecture, Artificial Intelligence

The Federal Reserve’s interest rate policy was insufficient, on its own, to achieve the Federal Reserve’s goals during the recent financial crisis. Acquiring the legal authority to pay interest on reserves allowed the Federal Reserve to implement monetary policy using a floor system and thereby divorce interest rate policy from balance sheet policy. Although the floor system entails immediate benefits, such as eliminating the implicit tax on reserves and reducing the credit risk associated with daylight overdrafts, the remote effects include potentially large costs. More specifically, the Federal Reserve’s balance sheet policies may reduce longer-run economic growth and risk the institution’s independence. To maintain the floor system’s present benefits, the Federal Reserve should therefore continue to implement interest rate policy through interest on reserves. To protect against the floor system’s future costs, the Federal Reserve should, however, restrict its balance sheet policy to Bagehot’s principles for last-resort lending.

- by Paul Mueller and +1
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- Monetary Economics, Political Economy, Financial Crisis of 2008/2009, Monetary Policy

We analyse the impact of standard and non-standard monetary policy on bank profitability. We use both proprietary and commercial data on individual euro area bank balance-sheets and market prices. Our results show that a monetary policy easing – a decrease in short-term interest rates and/or a flattening of the yield curve – is not associated with lower bank profits once we control for the endogeneity of the policy measures to expected macroeconomic and financial conditions. Accommodative monetary conditions asymmetrically affect the main components of bank profitability, with a positive impact on loan loss provisions and non-interest income offsetting the negative one on net interest income. A protracted period of low monetary rates has a negative effect on profits that, however, only materializes after a long time period and is counterbalanced by improved macroeconomic conditions. Monetary policy easing surprises during the low interest rate period improve bank stock prices and CDS.
This is an author original version (AOV). The version of record [Monetary Policy and Bank Profitability in a Low Interest Rate Environment’, Carlo Altavilla, Miguel Boucinha and José-Luis Peydró, Economic Policy, October 2018, 33(96), 531-586] is available online at https://academic.oup.com/economicpolicy/article/33/96/531/5124289; DOI: https://doi.org/10.1093/epolic/eiy013

- by José-Luis PEYDRÓ
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- Monetary Policy, Financial Crisis, Quantitative Easing, Government Policy
- by Romain Bouis
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- Regeneration, Monetary Policy, Quantitative Easing, Forward Guidance
- by Kostas Kalevras
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- Monetary Policy, Quantitative Easing, Interest On Reserves
- by Vladimiro Giacché
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- Globalization, Inequality (Economics), Karl Marx, Quantitative Easing

Recently among numerous concerns over the European and partly American economies the danger of deflation is rather frequently mentioned. The scholars cite the Japanese economy which has been suffering from deflation for the last two decades despite the large investments in economy and the government's efforts to increase inflation. Similarly, notwithstanding many trillions of dollars, euro, pounds and yen that were invested in economies over the past few years, the inflation in the Western countries still remains low.
On the whole, there are reasons to maintain that European countries suffer from ‘the Japanese disease’, and this disease can progress or even become chronic. The USA, although to a lesser extent, has the signs of the disease as well.
As a result, the financial infusions can become permanent, as it happened in Japan. The present paper defines the reasons of the problem, explains the irregularity of the inflation-deflation processes in the world and also gives some forecasts.

- by Leonid Grinin and +1
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- Investments, Inflation, Quantitative Easing, Demand
- by Ane Christensen and +1
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- Monetary Policy, Real Interest Rates, Quantitative Easing

On September 13, 2012, at the Federal Open Market Committee (FOMC)
meeting, the US Federal Reserve announced another round of quantitative
easing called QE3 by purchasing additional agency mortgage-backed securities (MBS) at a pace of USD 40 bn per month. Almost four years has passed since the release of the first round of quantitative easing (QE1) also second round of quantitative easing (QE2) and yet, US economy remains weak. Will QE3 make economy more resilient?

- by Josua Pardede
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- Macroeconomics, Quantitative Easing, US economy, The Fed

Quantitative Easing (QE) became common in developed nations following the financial crisis. However long term outcomes of such policy are not extensively explored and could, according to literature, be creating benign, low volatility markets that lead to financial crisis. I use financial time series data -‐ the FTSE100 and S&P500 -‐ to model the impact of QE on the volatility of these markets.

- by alex garbutt
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- Volatility, Quantitative Easing, Stock Market Analysis, Stock Market Volatility

This article argues that the PSPP judgment by the Bundesverfassungsgericht (BVerfG) effectively buries the era of financial liberalism, which has dominated the European economic constitution for decades. It raises the curtain on a new political paradigm , which I call "integrative liberalism". Whereas the financial crisis put financial liberalism under strain, the development since then has been contradictory, torn between state intervention and market liberalism, focused above all on buying time rather than finding a new constitutional equilibrium. Now, together with the measures adopted in response to COVID-19, the PSPP judgment paves the way for profound change. Integrative liberalism is characterized by an overall shift from the market to the state, mitigating the post-crisis insistence on austerity and conditionality. Contrary to the embedded liberalism of the postwar era, integrative liberalism operates in a corrective and reactive mode with a focus on goals and principles, lacking the emphasis on long-term planning. Like every political paradigm, integrative liberalism ushers in a new understanding of the law. It puts the emphasis on context instead of discipline, and it elevates the proportionality principle. If integrative liberalism is to succeed, however, the democratic legitimacy of the Eurosystem and its independence require serious reconsideration.

- by Matthias Goldmann
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- Constitutional Law, European Law, Liberalism, European Constitutionalism

Detailed analysis of the Corporate Sector Purchase Programme (CSPP) of the European Central Bank (ECB) reveals a deep misalignment between ECBs policy interventions and European Union's climate policy objectives. Whereas EU climate policies try actively to transform the European economy to make it more sustainable, the CSPP merely reproduces the current state of the corporate bond market. The ECB therefore mirrors investment choices made by financial markets, even though financial markets seem misaligned with a mitigation path limiting the global warming to 1,5°. The weight of the most carbon intensive sectors within the CSPP portfolio is in line with the market neutrality principle claimed by the ECB, yet is profoundly troubling from the point of view of the ecological transition, as it maintains low capital costs and easy debt issuance conditions for the most polluting companies, without any assurance that these financial conditions serve the purpose of adjusting the underlying business and industrial models. This policy note suggests a way to integrate carbon emissions as a criterion in its own right, shaping central banks' investment decisions and the collateral framework used for refinancing purposes.

- by Stanislas Jourdan
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- Climate Change, European Union, Monetary Policy, Eurozone

In times of crisis it is essential that some form of stabilization mechanism be put in place to check the abnormal trends in the economy. Governments and Central bank often result to different regimes of macroeconomic stabilization to stabilize and re-energize the economy. This study reviews Minsky's Financial Market Instability Hypothesis and re-evaluates the recommendations in the work of Minsky necessary for the stabilization of the economy. It is expected to provide further insight on the relevance of current recommendations in the macroeconomic stabilization process and restart the open ended argument of the process of responding to crisis in the future.

- by Ian Kinder-Pyle
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- Econometrics, Monetary Policy, Quantitative Easing, Stock Market Analysis

Monetary policy for those Members whose currency is the Euro is one of European Union's few formally exclusive competences. Yet despite formal allocation of monetary policy competence to the Union, this chapter argues that the practice of monetary policy decision-making reflects the EU's nation-state structure. It tells us one side of the story about the balance of power for the conduct of monetary policy. If exclusive competence at bottom means that member states have no say in devising policy, then monetary policy, is not at present a genuinely exclusive competence.
Instead, the chapter contends that monetary policy is an exclusive competence of the EU in name only. At the very least, the position is more nuanced than the label of exclusive competence suggests.
The first section compares competence for monetary policy with related areas, specifically economic policy, and closely connected thereto, education, health, labour and social policy. It also briefly discussed how the Eurozone crisis has affected the vertical balance of responsibilities between the EU and its member states in these areas. The second section examines the asymmetric allocation of competence for economic and monetary policy, and the fuzzy boundary between the two, through the prism of the two key Eurozone crisis cases before the CJEU, Pringle and Gauweiler. The third section examines why, contrary to first appearances, the EU does not at present have a genuine exclusive competence for monetary policy.

- by Richard Westra
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- Japanese Studies, Globalization, Cold War, International Political Economy
- by Marco Raberto
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- Economics, Quantitative Easing, Business Cycle, Dividend policy
- by Gaël Giraud
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- Economic Theory, Quantitative Easing, Default, LIQUIDITY TRAP

CNMT (Classical Neoclassical Monetary Theory) has defined monetary policy and the role of Central Banks for the last one hundred years. This book argues that it is time to change. It proposes a NMT (New Monetary Theory) which argues that Central Banks should be responsible for the whole relation between money and economic growth. For monetary policy it means that in regular times Central Banks will continue being guided by CNMT and QE (Quantitative Easing) should not be used. But in major crises like 1930, 2008, and 2020, NMT should be the guide and QE should be used extensively. NMT proposes that Central Banks should become even more independent and responsible for the productive economy, while traditional governments remain responsible mainly for the social economy. NMT argues that in major crises fiscal policy should only be limited to support the social economy - that one which does not have survival productive characteristics. And that extended QE, which we call in here the Monetary Credit Bazooka (MCB), should be used to support the productive economy - the one capable to receive and repay long term preferential loans. NMT implies a major revolution both in Monetary Theory and in Monetary Policy, but it is required both to have fast and efficient responses in major economic crises, and to avoid the inefficiencies associated with government spending and the unnecessary long term burdens to the tax payers which always imply unjust economic transfers.

- by Carlos F Obregon
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- Finance, Economics, Monetary Economics, Macroeconomics

1. La decisione della Corte costituzionale tedesca sul programma di acquisto di titoli del debito pubblico PSPP irrompe rumorosamente nel dibattito pubblico europeo sui poteri della Banca centrale e mentre assolve, in sostanza, il Quantitative easing draghiano, sia pure imponendo all'istituto di Francoforte una lieve penitenza, preannuncia invece una condanna senza appello delle misure di sostegno finalizzate a reagire alla crisi economica causata dal Covid-19.

This study explores both return and volatility spillover effects, the co-integration relation and the correlative relationship between the metal market in London metal exchange and United States exchange rate market, and the risk premium and leverage effect in each of these two markets for the periods before and during quantitative easing (QE). Empirical results show that, as the QE is executed the risk premium in US exchange rate market will disappear; and the speed and direction of the adjustment back to equilibrium respectively becomes greater and is reversed for the cointegration relation in metal market. Regarding these two markets only the return spillover effect is affected, and the degree of negative correlative relationship becomes more obvious as the QE is executed.

- by Lifescience Global Canada and +1
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- Quantitative Easing, Spillover Effect
- by Robert Jarrow
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- Derivatives, Quantitative Easing, Finance and Investment Banking
- by Vladimiro Giacché
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- Globalization, Social Inequality, Quantitative Easing, Subprime crisis
- by vasco vasco
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- Finance, Economics, Monetary Economics, Economic Theory

In this paper we analyze the existence of cointegrating relationships between Bitcoin, S&P 500, and the quantity of money M2. We perform our analysis with and without applying time warping pre-processing. In all cases we find strong evidence that, in the period 2016-2021 the three time series show two cointegrating relationships and therefore share a common stochastic trend. In addition, a low correlation between Bitcoin and S&P 500 is detected. These finding justify the increased interest of investors in Bitcoin as an alternative asset class. The economic interpretation is that the stock valuation is primarily determined by financial phenomena, in particular the availability of large quantity of money. Money supporting investment is due both to the actions of Quantitative Easing and to the exchange of creditor/debtor role that took place between households and firms. The price of both Bitcoin and stocks is increasingly influenced by the amount of money in circulation and follows the same stochastic trend.

- by Marco Patacca and +1
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- Monetary Policy, Cointegration, Quantitative Easing, Bitcoin

1747 applicants brought four constitutional complaints before the German Constitutional Court, which the Court consolidated for joint adjudication. They challenged the constitutionality of the European Central Bank’s Public Sector Purchase Programme (‘PSPP’), particularly the inaction of the German Federal Government, the Bundestag (German Parliament) and the Bundesbank (German Central Bank) concerning the PSPP. The European Central Bank (‘ECB’) launched the PSPP on 22 January 2015. This case note discusses the Court's judgment.

We show that Quantitative Easing (QE) stimulates investment via a corporate-bond lending channel. Fed's large-scale asset purchases of MBS and treasuries through QE creates a vacuum of safe assets, prompting safer firms to invest more by issuing relatively "safe" bonds. Using micro-data around QE, we find that QE increases firm-level investment by 7.4 percentage points for firms with bond market access. This growth is financed with senior bonds. We find no evidence of higher shareholders' payouts associated to QE. The robust findings are consistent with a model in which reducing the supply of government debt lowers "safe" corporate bond yields, stimulating investment. JEL Classif ication N umbers: E5, G01, G31, G32, G38.

- by José-Luis PEYDRÓ and +2
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- Investment, Quantitative Easing, Financing, Bonds
- by Dirk Bezemer
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- Accounting, Monetary Policy, Quantitative Easing

Purpose of the article: The main purpose of the paper is empirically evaluating selectivity skills and market timing ability of Polish fund managers during the period from January 2009 to November 2014. After the global financial crisis of 2008, in this period of quantitative easing (QE), thanks to an increase in the money supply, a capital flow from developed countries to developing countries was observed. In this study, we try to analyse that although the financial market in Poland made an incredible progress, whether fund managers show better or worse performance than the market. Methodology/Methods: In order to evaluate fund manager performances, Jensen alpha (1968) is computed, which depicts selectivity skills of fund managers. For determining market timing ability of fund managers, Treynor & Mazuy (1966) regression analysis and Henriksson & Merton (1981) regression analysis are applied. Fund performances are evaluated using Warsaw Stock Exchange Index as the benchmark index. Scientific aim: In this study, we have tried to evaluate selectivity skills and market timing ability of Polish fund managers. A total of 14 equity fund managers' performances are analysed. The study can be guiding especially for investors who are interested in Polish equity fund performances in a period where emerging stock markets outperformed with quantitative easing. Findings: Jensen (1968) alphas indicate that over this period fund managers did not have selective ability, as none of the 14 funds had statistically significant positive alphas. Furthermore, Treynor & Mazuy (1966) and Henriksson & Merton (1981) regression analysis indicate that over the same period fund managers did not also have market timing ability, as again none of the 14 funds had statistically significant positive coefficients. Conclusions: In this work, we can detect that in the era of quantitative easing, although the financial market in Poland made an incredible progress, the fund returns were generally lower than the stock market and Polish fund managers could not display a good performance both in selectivity skills and market timing abilities.

- by Ömer Tan
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- Performance of Mutual Funds, Quantitative Easing

The purpose of this research is to compare and contrast of interest rates in Ireland during the recession of the 1980s and during the Financial Crisis of 2008. The impact of the global recessions of the 1980s and the Financial Crisis of 2008 appear to have excessively affected Ireland. Both of these recessions affected every Irish individual and led to high unemployment rates and mass emigration. The aim of this research is to highlight the similarities and differences between the recession of the 1980s and the Financial Crisis of 2008, in order to assess the role played by the Central Bank of Ireland and the European Central Bank during these periods. This research will focus on both the interest rates and policy responses during these recessions.
In order to establish these aims this research will use a qualitative method of collecting data. The required data will be obtained from the OECD databases, The World Bank, the Central Bank of Ireland and the European Central Bank. This will be desk assessed by referencing the relevant academic and literary sources.

- by Kelley G Rickard
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- Finance, Economic History, Irish Studies, Economics
- by Kampamba Shula
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- Economics, Emerging Markets, Quantitative Easing, Currency

The paper comments on the sentence of the German Federal Constitutional Court which declared Germany's participation in the public sector purchase program, PSPP, implemented by the European Central Bank-ECB, partially unconstitutional.... more