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Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
Sveriges Riksbank Working Paper Series No. 434
Verlag: 
Sveriges Riksbank, Stockholm
Zusammenfassung: 
We assess the impact of large-scale asset purchases, commonly known as quantitative easing (QE), conducted by Sveriges Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for bondspecific safety premia, we find that Sveriges Riksbank's bond purchases raised inflation and short-rate expectations, lowered nominal and real term premia and inflation risk premia, and increased nominal bond safety premia, suggestive of signaling, portfolio rebalance, and safe asset scarcity effects. Furthermore, we document spillover effects of ECB's QE programs on Swedish bond markets that are similar to the Swedish QE effects only after controlling for exchange rate fluctuations, highlighting the importance of exchange rate dynamics in the transmission of QE spillover effects.
Schlagwörter: 
term structure modeling
financial market frictions
safety premium
unconventional monetary policy
JEL: 
C32
E43
E52
E58
F41
F42
G12
Dokumentart: 
Working Paper
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