Abstract:
To analyze the evolution of quantitative easingís (QE) and tighteningís (QT) e§ects across consecutive announcements, we focus on their unexpected component. Treasury yield sensitivities to QE and QT supply surprises do not fall monotonically over time, thus later announcements seemed to remain powerful; yield sensitivities to QT surprises are on average larger than sensitivities to QE surprises, implying supply e§ects did not diminish during periods of market calm amid economic expansion; Önally, yield sensitivities are ampliÖed by the amount of interest-rate uncertainty prevailing before the announcement, implying that turning points in the balance sheet policy tended to elicit larger reactions.
