Análise da operação twist nos eua

eric t. swanson
Federal Reserve Bank of San Francisco

Let’s Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2
ABSTRACT This paper undertakes a modern event-study analysis of Operation Twist and uses its estimated effects to assess what should be expected for the recent policy of quantitative easing by the Federal Reserve, dubbed “QE2.” The paper first shows that Operation Twist and QE2 are similar in magnitude. It then identifies six significant, discrete announcements in the course of Operation Twist that could have had a major effect on financial markets and shows that four did have statistically significant effects. The cumulative effect of these six announcements on longer-term Treasury yields is highly statistically significant but moderate, amounting to about 15 basis points (bp). This estimate is consistent both with time-series analysis undertaken not long after the event and with the lower end of empirical estimates of Treasury supply effects in the literature. The effects of Operation Twist on long-term agency and corporate bond yields are also statistically significant but smaller, about 13 bp for agency securities and 2 to 4 bp for corporates. Thus, the effects of Operation Twist seem to diminish substantially as one moves from Treasury securities toward private sector credit instruments.

n December 16, 2008, the Federal Reserve’s Federal Open Market Committee (FOMC) lowered the target for the interest rate on federal funds to essentially zero in response to the most severe U.S. financial crisis since the Great Depression. Since U.S. currency carries an interest rate of zero, it is virtually impossible for the FOMC to target a value for the federal funds rate that is substantially below zero. Faced with this zero lower bound, the FOMC in 2008 and 2009 endeavored to find alternative ways to stimulate the weak economy, such as by purchasing large quantities of mortgage-backed securities and