Unconventional Monetary Policy and the Behavior of Shorts

被引：0
|
作者：
Mcinish, Thomas [1 ]
Neely, Christopher J. [2 ]
Planchon, Jade [3 ]
机构：
[1] Univ Memphis, Memphis, TN USA
[2] Fed Reserve Bank St Louis, St Louis, MO 63102 USA
[3] Rhodes Coll, Memphis, TN USA
来源：
JOURNAL OF MONEY CREDIT AND BANKING | 2023年
关键词：
quantitative easing; Treasury bond short interest; monetary policy; large-scale asset purchases (LSAP); agency securities; Treasury securities; Great Recession; PRICE DISCOVERY; INTEREST-RATES; NEWS; STORIES; MARKET;
D O I：
10.1111/jmcb.13045
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate the behavior of shorts, considered sophisticated investors, before and after a set of Federal Reserve unconventional monetary policy announcements that spot bond markets did not fully anticipate. Short interest in agency securities systematically predicts bond price changes and other asset returns on the days of monetary announcements, particularly when growth or monetary news is released, indicating shorts correctly anticipate these surprises. Shorts also systematically rebalance after announcements in the direction of the announcement surprise when the announcement releases monetary or growth news, suggesting that shorts interpret these announcements to imply further yield changes in the same direction.
引用
收藏
页码：805 / 835
页数：31
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