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Portfolio balance effects and the Federal Reserve's large-scale asset purchases
2018
Studies in Economics and Finance
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Whereas much of previous literature focuses upon the impact on yields from the Federal Reserve's large-scale asset purchases (LSAPs), we study the changes to expected returns. Our empirical investigation offers support for changes to risk premia coincident with LSAPs. For both equity and bonds, we find evidence for supply/demand LSAPs effects; the equity effects are consistent with a substitution effect from bonds to equities, whereas the bond effects appear to be an anomaly. Such findings
doi:10.1108/sef-10-2017-0284
fatcat:5hebyxgb3zcazpkviya7bdyeja