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Scarcity Effects of QE: A Transaction-Level Analysis in the Bund Market
16 references·1 citing·51 second hop
Scarcity Effects of QE: A Transaction-Level Analysis in the Bund Market (2017)Scarcity Effects of QE: A Transaction-Lev…Unconventional monetary policies: a re-appraisal (2018)Unconventional monetary polic…Asset Purchase Programmes and Financial Markets: Lessons from the Euro Area (2016)Asset Purchase Programmes and…Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme (2015)Evaluating the impact of unco…Click or Call? Auction versus Search in the Over‐the‐Counter Market (2014)Click or Call? Auction versus…The Signaling Channel for Federal Reserve Bond Purchases (2013)The Signaling Channel for Fed…Measuring Liquidity in Bond Markets (2013)Measuring Liquidity in Bond M…What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound? (2012)What does Monetary Policy do …The Response of Interest Rates to US and UK Quantitative Easing (2012)The Response of Interest Rate…The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases (2012)The Financial Market Effects …The Aggregate Demand for Treasury Debt (2012)The Aggregate Demand for Trea…Methods of Policy Accommodation at the Interest-Rate Lower Bound (2012)Methods of Policy Accommodati…Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply (2012)Flow and stock effects of lar…The Signaling Channel for Federal Reserve Bond Purchases (2011)The Signaling Channel for Fed…The Financial Market Impact of Quantitative Easing (2010)The Financial Market Impact o…Price Pressure in the Government Bond Market (2010)Price Pressure in the Governm…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Quantitative Easing and Preferred Habitat Investors in the Euro Area Bond Market (2018)Quantitative Easing and Prefe…Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)It's Baaack: Japan's Slump and the Return of the Liquidity Trap (1998)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2013)A Comparative‐Advantage Approach to Government Debt Maturity (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment (2011)Bond Supply and Excess Bond Returns (2014)Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates (2014)Measuring the effects of federal reserve forward guidance and asset purchases on financial markets (2020)Macroeconomics and Reality (1980)Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)Risk, uncertainty and monetary policy (2013)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Term Structure of Interest Rates (1957)A Theory of the Term Structure of Interest Rates (1985)Bond Supply and Excess Bond Returns (2008)Inflation Risk and the Inflation Risk Premium (2010)ECB Policies Involving Government Bond Purchases: Impact and Channels (2017)Parsimonious Modeling of Yield Curves (1987)Forecasting, Structural Time Series Models and the Kalman Filter (1990)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440) (2023)Are Government Bonds Net Wealth? (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling Term Structures of Defaultable Bonds (1999)A Macroprudential Approach to Financial Regulation (2011)Monetary Policy as Financial Stability Regulation (2012)The Deposits Channel of Monetary Policy* (2017)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)Demand-Based Option Pricing (2005)The U.S. Treasury yield curve: 1961 to the present (2007)Capital flows to emerging market economies: A brave new world? (2014)Small-sample Confidence Intervals for Impulse Response Functions (1998)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy (2011)The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects (2012)International channels of the Fed's unconventional monetary policy (2014)Determining the Number of Factors in Approximate Factor Models (2002)Dynamic Conditional Correlation (2002)Market Liquidity and Funding Liquidity (2008)An analysis of euro area sovereign CDS and their relation with government bonds (2015)Necessity as the mother of invention: monetary policy after the crisis (2017)Unconventional Monetary Policies in the Euro Area, Japan, and the United Kingdom (2018)
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References

  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2012The Aggregate Demand for Treasury Debt1,591 cited
  • 2012The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases704 cited
  • 2012Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply655 cited
  • 2012What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?531 cited
  • 2012Methods of Policy Accommodation at the Interest-Rate Lower Bound439 cited
  • 2012The Response of Interest Rates to US and UK Quantitative Easing344 cited
  • 2015Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme316 cited
  • 2013The Signaling Channel for Federal Reserve Bond Purchases315 cited
  • 2010Price Pressure in the Government Bond Market311 cited
  • 2010The Financial Market Impact of Quantitative Easing303 cited
  • 2018Unconventional monetary policies: a re-appraisal239 cited
  • 2013Measuring Liquidity in Bond Markets238 cited
  • 2011The Signaling Channel for Federal Reserve Bond Purchases216 cited
  • 2016Asset Purchase Programmes and Financial Markets: Lessons from the Euro Area

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208 cited
  • 2014Click or Call? Auction versus Search in the Over‐the‐Counter Market195 cited
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    • 2018Quantitative Easing and Preferred Habitat Investors in the Euro Area Bond Market11 cited