Quantitative easing in the shadows: modelling the transmission of asset purchases through shadow rate dynamics

Publicação

datacite.subject.fos	Ciências Sociais::Economia e Gestão
dc.contributor.advisor	Costa, José Miguel Cardoso da
dc.contributor.author	Dick, Phlipp
dc.date.accessioned	2026-02-05T17:45:20Z
dc.date.available	2026-02-05T17:45:20Z
dc.date.issued	2025-06-26
dc.date.submitted	2025-06-26
dc.description.abstract	This paper investigates the relationship between the Federal Reserve’s unconventional monetary policies and estimates of the shadow interest rate from 2003 to 2024. Using estimates of Wu and Xia (2016) and Krippner (2015) for the shadow rate, the effects of asset purchases are quantified across several quantitative easing episodes, including the Great Financial Crisis and the COVID-19 pandemic. Findings reveal that asset purchases significantly reduced the shadow rate, but there is considerable heterogeneity in their effectiveness across programs, with forward guidance also playing an important role.	eng
dc.identifier.tid	204127904
dc.identifier.uri	http://hdl.handle.net/10362/200079
dc.language.iso	eng
dc.rights.uri	http://creativecommons.org/licenses/by/4.0/
dc.subject	Balance sheet policy
dc.subject	Shadow rate
dc.subject	Effective lower bound
dc.title	Quantitative easing in the shadows: modelling the transmission of asset purchases through shadow rate dynamics	eng
dc.type	master thesis
dspace.entity.type	Publication
thesis.degree.name	A Work Project, presented as part of the requirements for the Award of a Master’s degree in Economics from the Nova School of Business and Economics

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