Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Yield Curve Impacts of Forward Guidance and Maturity Extension Programs

Yield Curve Impacts of Forward Guidance and Maturity Extension Programs

Federal Reserve Board

Paperback

Business General

ISBN10: 1503287106
ISBN13: 9781503287105
Publisher: Createspace
Published: Nov 19 2014
Pages: 32
Weight: 0.22
Height: 0.07 Width: 8.50 Depth: 11.00
Language: English
In 2011 and 2012, the Federal Reserve sold Treasury securities from the short end of the yield curve at the same time it was providing market participants with date-specific assurances that overnight interest rates would not rise. We investigate how these two policies, which had conflicting pricing pressures, were absorbed by the market. We analyze the impacts of sales on the volume and composition of inventories of the Federal Reserve's counterparties, and examine how announcements of accommodative monetary policy affected spreads and prices across maturities. Our results suggest that these two reserve-neutral policies affected interest rates both within and beyond the stated policy periods. The finding that Federal Reserve's sales, conducted during periods of date-based forward guidance, were associated with higher interest rates suggests that the policy effects were not limited to the anticipated path of federal funds rates. We also find that the accumulation of Treasury securities by Federal Reserve counterparties was consistent with the idea that those dealers responded opportunistically to the forward guidance on rates.

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