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首页> 外文期刊>Journal of financial economics >Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply
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Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply

机译：大规模购买国库券的流量和存量效应：关于本地供应重要性的证据

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The Federal Reserve's 2009 program to purchase $300 billion of US Treasury securities represented an unprecedented intervention in the Treasury market and provides a natural experiment with the potential to shed light on the price elasticities of Treasuries and theories of supply effects in the term structure. Using security-level data on Treasury prices and quantities during the course of this program, we document a 'local supply' effect in the yield curve-yields within a particular maturity sector responded more to changes in the amounts outstanding in that sector than to similar changes in other sectors. We find that this phenomenon was responsible for a persistent downward shift in yields averaging about 30 basis points over the course of the program (the "stock effect"). In addition, except at very long maturities, purchase operations caused an average decline in yields in the sector purchased of 3.5 basis points on the days when those operations occurred (the "flow effect"). The sensitivity of our results to security characteristics generally supports a view of segmentation or imperfect substitution within the Treasury market during this time.
机译：美联储在2009年购买3000亿美元美国国债的计划是对国债市场的空前干预，它提供了自然的实验，有可能揭示国债的价格弹性和期限结构中的供给效应理论。在此计划过程中，使用有关国债价格和数量的安全级别数据，我们记录了收益率曲线中的“本地供应”效应-特定成熟度行业内的收益率对该行业未偿还金额变化的反应要多于同类其他行业的变化。我们发现，这种现象导致了整个计划过程中平均收益持续下降约30个基点（“股票效应”）。此外，除了期限很长之外，购买操作导致购买该部门的当日收益平均下降3.5个基点（“流量效应”）。我们的结果对证券特征的敏感性通常支持这段时间在国债市场中的细分或不完全替代的观点。

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