TY  - UNPD
A1  - Jappelli, Ruggiero
A1  - Pelizzon, Loriana
A1  - Subrahmanyam, Marti G.
T1  - Quantitative easing, the repo market, and the term structure of interest rates
N2  - We develop a quantity-driven general equilibrium model that integrates the term structure of interest rates with the repurchase agreements (repo) market to shed light on the com-bined effects of quantitative easing (QE) on the bond and money markets. We characterize in closed form the endogenous dynamic interaction between bond prices and repo rates, and show (i) that repo specialness dampens the impact of any given quantity of asset pur-chases due to QE on the slope of the term structure and (ii) that bond scarcity resulting from QE increases repo specialness, thus strengthening the local supply channel of QE.
T3  - SAFE working paper - 395 
KW  - Term Structure of Interest Rates
KW  - Repo Specialness
KW  - Money Market
KW  - Quantitative Easing
Y1  - 2023
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/70393
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-703934
UR  - https://ssrn.com/abstract=4514020
N1  - The project was supported by the Leibniz Institute for Financial Research SAFE.
PB  - SAFE
CY  - Frankfurt am Main
ER  -