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- Title
Quantitative easing effectiveness: Evidence from Euro private assets.
- Authors
Kirikos, Dimitris G.
- Abstract
Proponents of quantitative easing (QE) unconventional policy have rather overstated some evidence that structural time series models do not predict long‐term asset prices and yields as well as naive random walk forecasts, implying that predictions of price reversals cannot be profitable and, therefore, that QE effects are not transitory. Indeed, in this work we present evidence that naive models do not outperform structural vector autoregressive and Markov switching models in out‐of‐sample forecasting of corporate bond yields purchased by the European Central Bank, when the information set includes base money growth. It turns out that structural time series models provide additional information regarding the likelihood of price reversals, thus motivating investors to offset the effects of QE interventions if they perceive unconventional monetary policy regimes as temporary.
- Subjects
EUROPEAN Central Bank; RANDOM walks; INVESTORS; PRICES; TIME series analysis; BONDS (Finance); CORPORATE bonds; STOCK price forecasting
- Publication
Bulletin of Economic Research, 2024, Vol 76, Issue 2, p354
- ISSN
0307-3378
- Publication type
Article
- DOI
10.1111/boer.12427