Working Paper
Supply and demand shifts of shorts before Fed announcements during QE1–QE3
Abstract: Cohen, Diether, and Malloy (Journal of Finance, 2007), find that shifts in the demand curve predict negative stock returns. We use their approach to examine changes in supply and demand at the time of FOMC announcements. We show that shifts in the demand for borrowing Treasuries and agencies predict quantitative easing. A reduction in the quantity demanded at all points along the demand curve predicts expansionary quantitative easing announcements.
Keywords: Quantitative Easing; Treasury bond short interest; Monetary Policy; Large-Scale Asset Purchases (LSAP); Agency securities; Treasury securities;
JEL Classification: E4; E44; E52; G1; G14; G18;
https://doi.org/10.20955/wp.2020.051
Status: Published in Economic Letters
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Bibliographic Information
Provider: Federal Reserve Bank of St. Louis
Part of Series: Working Papers
Publication Date: 2020-12-17
Number: 2020-051
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- Publisher Article: Supply and demand shifts of shorts before Fed announcements during QE1–QE3