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Regular version of the site

Working paper

Влияние операций на открытом рынке на волатильность рынка облигаций

I examine the relationship between open market operations and the volatility of bond returns at Fed time. Using GovPX transaction data for the year 2000, I present evidence that the Fed’s day-today monetary policy is not neutral with respect to the bond market. The impact of the Fed’s operations is significant on days when regular short-term open market operations are conducted, unlike on days when both short- and long-term operations (an innovation introduced in 2000) are implemented. I demonstrate that the volatility pattern observed in the former case can be attributed to a collateral reassignment problem faced by primary dealers.