Abstract

https://ssrn.com/abstract=2721712
 


 



Did Quantitative Easing Affect Interest Rates Outside the US? – New Evidence Based on Interest Rate Differentials


Ansgar Hubertus Belke


University of Duisburg-Essen - Department of Economics and Business Administration; IZA Institute of Labor Economics

Daniel Gros


Centre for European Policy Studies, Brussels; CESifo (Center for Economic Studies and Ifo Institute)

Thomas Ulrich Osowski


University of Duisburg-Essen

December 15, 2015

Ruhr Economic Paper No. 600

Abstract:     
This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates have followed a global downward trend prior to as well as during the financial crisis. Comparing interest rate developments in the United States and the Eurozone, it appears difficult to find a distinct impact of the Fed’s QE1 on US interest rates for which the global environment – the global downward trend in interest rates – does not account. Motivated by these results, we analyze the impact of the Fed’s QE1 program on the stability of the US-Euro long-term interest rate relationship by using a CVAR and, in particular, recursive estimation methods. Using data between 2002 and 2014, we find limited evidence that QE1 caused a breakup or a destabilization of the transatlantic interest rate relationship. Taking global interest rate developments into account, we thus find no significant evidence that QE had an independent, distinct impact on US interest rates.

Number of Pages in PDF File: 40

Keywords: Quantitative easing; unconventional monetary policies; time series econometrics; Cointegrated VAR (CVAR); recursive methods

JEL Classification: C32, E43, E44, E58, F31, G01, G15


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Date posted: February 2, 2016  

Suggested Citation

Belke, Ansgar Hubertus and Gros, Daniel and Osowski, Thomas Ulrich, Did Quantitative Easing Affect Interest Rates Outside the US? – New Evidence Based on Interest Rate Differentials (December 15, 2015). Ruhr Economic Paper No. 600. Available at SSRN: https://ssrn.com/abstract=2721712 or http://dx.doi.org/10.2139/ssrn.2721712

Contact Information

Ansgar Hubertus Belke (Contact Author)
University of Duisburg-Essen - Department of Economics and Business Administration ( email )
Universitätsstr. 9
Essen, 45141
Germany
IZA Institute of Labor Economics
P.O. Box 7240
Bonn, D-53072
Germany

Daniel Gros
Centre for European Policy Studies, Brussels ( email )
1 Place du Congres
B-1000 Brussels, 1000
Belgium
CESifo (Center for Economic Studies and Ifo Institute)
Poschinger Str. 5
Munich, DE-81679
Germany
HOME PAGE: http://www.CESifo.de

Thomas Ulrich Osowski
University of Duisburg-Essen ( email )
Lotharstrasse 1
Duisburg, 47048
Germany
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