Quantitative easing: a sceptical survey

Martin, Christopher; Milas, Costas

doi:10.1093/oxrep/grs029

Cited by 86 publications

(55 citation statements)

References 10 publications

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“…Similarly, the Federal Reserve launched a new set of nonconventional monetary 'tools', termed as 'crediting easing', in order to rise the liquidity of the markets after the collapse of Lehman Brothers. The rest of the economies in our sample, the ones belonging to the Eurozone area, also engaged in Q/E but at a lower extent in comparison with the large asset purchases in the US and the UK (Martin and Milas, 2012;Reichlin, 2013).…”

Section: Impact Of the Control Variablesmentioning

confidence: 95%

What drives investment bank performance? The role of risk, liquidity and fees prior to and during the crisis

Mamatzakis

Bermpei

2014

International Review of Financial Analysis

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This paper examines factors that affect the performance of investment banks in the G7 and Switzerland. In particular, we focus on the role of risk, liquidity and investment banking fees. Panel analysis shows that those variables significantly impact upon performance as derived from stochastic frontier analysis (SFA). Given our sample also comprises the financial crisis, we further test for regimes switches using dynamic panel threshold analysis. Results show different underlying regimes, in particular over the financial crisis. In addition, a strong positive effect of Z-Score on performance for banks in the regime of low default risk is reported, whilst fee-income ratio has also a positive impact for banks with low level of fees. On the other hand, liquidity exerts a negative impact. Notably, there is a clear trend of mobility of banks across the two identified threshold regimes with regards to risk a year before the financial crisis. Our results provide evidence that recent regulation reforms regarding capital adequacy and liquidity requirements are on the right track and could enhance performance.

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Section: Impact Of the Control Variablesmentioning

confidence: 95%

What drives investment bank performance? The role of risk, liquidity and fees prior to and during the crisis

Mamatzakis

Bermpei

2014

International Review of Financial Analysis

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“…The authors suggest that the switch to purchasing Treasuries, rather than MBS and Agency debt, could contribute to the reduced effect. Martin and Milas (2012) also note that the event study effects of QE1 on long yields appear to be larger than those of QE2. They ascribe this seeming time variation to the facts that rates were already low or QE1 had eased financial stresses.…”

Section: Us Treasury Housing and Corporate Bondsmentioning

confidence: 85%

An Analysis of the Literature on International Unconventional Monetary Policy

Bhattarai

Neely

2016

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This paper reviews and critically evaluates the empirical literature on the effects of U.S. unconventional monetary policy on both financial markets and the real economy. In order to understand how such policies could work, we also briefly review the literature on the theory of such policies. We show that event studies provide very strong evidence that U.S. unconventional policy announcements have strongly influenced international bond yields, exchange rates, and equity prices in the desired manner. In addition, such studies indicate that such policies curtailed market perceptions of extreme events. Calibrated modeling and vector autoregressive (VAR) exercises strongly suggest that these policies significantly improved macroeconomic outcomes, raising U.S. GDP and CPI, through these changes in asset prices. Both event studies and VARs imply positive international spillovers of such policies.

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“…The effect on consumer prices, however, is weaker and less persistent. Numerous studies on the macroeconomic effects of QE for other central banks document similar findings and are summarised, inter alia, in the overview articles by Joyce et al (2012) and Martin and Milas (2012). 2 All these papers rely on a vector autoregressive (VAR) framework to quantify the impact of unconventional monetary policy, an approach that goes back to Sims's (1980) seminal paper.…”

Section: Introductionmentioning

confidence: 91%

An Unconventional Approach to Evaluate the Bank of England's Asset Purchase Program

Neuenkirch

2016

SSRN Journal

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Quantitative easing: a sceptical survey

Abstract: We thank Amar Radia, Ryan Banerjee and Christopher Bowdler for very useful comments and suggestions.

Cited by 86 publications

References 10 publications

What drives investment bank performance? The role of risk, liquidity and fees prior to and during the crisis

What drives investment bank performance? The role of risk, liquidity and fees prior to and during the crisis

An Analysis of the Literature on International Unconventional Monetary Policy

An Unconventional Approach to Evaluate the Bank of England's Asset Purchase Program

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