ジェームズ・ハミルトンらが、計測されたQEの効果は過大ではないか、と論じた論文を先月23日にニューヨークで開催された第12回米金融政策フォーラム(U.S. Monetary Policy Forum=USMPF)で発表した。ハミルトン自身がEconbrowserで論文の内容を解説しているほか、フォーラムの創始者の一員であるStephen G. CecchettiとKermit L. Schoenholtzが、自分たちのMoney and Bankingブログで以下のように紹介している

In their new USMPF report, A Skeptical View of the Impact of the Fed’s Balance Sheet, David Greenlaw, James Hamilton, Ethan Harris, and Kenneth West highlight two aspects of the “event study” methodology that cause the resulting estimates to overstate the cumulative impact of QE:
•Selection: Studies based on a small sample of QE “events” that are selected based on the size and direction of bond yield movements arbitrarily exclude contrary observations.
•Persistence: Use of a brief time window presumes that policy’s impact persists and ignores the possibility that the initial market response will unwind.
Using various means to correct for these deficiencies, Greenlaw et al conclude that previous studies significantly overstate the persistent impact of QE. To take one example, out of a sample of 2,374 business days from November 2008 to December 2017, the authors identify 255 “Fed days.” These include days in which there were FOMC policy announcements, the release of FOMC minutes, and policy speeches from the Fed Chair. The authors hypothesize that if event studies are capable of measuring QE’s impact, then yields should decline on Fed days during the three expansionary episodes and then rise during the subsequent period of tapering and exit.

  • 選択:国債利回りの動きの大きさと方向によって選択された量的緩和「イベント」の小さなサンプルに基づく研究は、逆方向の観測値を恣意的に除外している。
  • 持続性:短い時間ウィンドウを使うことは、政策の影響が持続することを仮定しており、初期の市場の反応が薄れていく可能性を無視している。



The following chart depicts the cumulative change in the 10-year Treasury yield on Fed days: in contrast to the hypothesis, the yield tends to rise in the three shaded QE episodes (after dropping at the start of QE1). And, while the yield initially rose (as predicted) in response to Chairman Bernanke’s taper comments in May 2013 (the “taper tantrum”), it then drifted lower, even after the taper began (a phenomenon the authors label the “shrinkage shrug”). Consequently, aside from two key turning points, the cumulative yield shift does not match the authors’ hypothesis. In contrast, the second chart—for the “non-Fed days” that account for nearly 90 percent of the sample—shows that the yield generally trended lower through the QE episodes. (Using another approach—based on a news-story definition of “Fed days”—the authors find comparable patterns.)

Cumulative change of the nominal and inflation-adjusted 10-year Treasury yields on “Fed days” (basis points), November 2008-December 2017 (「FRB日」における名目およびインフレ調整後の10年物国債利回りの累積的変化(ベーシスポイント)、2008年11月ー2017年12月)

Note: Shaded areas denote QE periods. Source: Exhibit 4.2 in Greenlaw et al, A Skeptical View of the Impact of the Fed’s Balance Sheet. (陰影期間は量的緩和期を表す。グリーンローらの「FRBのバランスシートの影響についての懐疑的な見方」の図4.2より。)

Cumulative change of the 10-year Treasury yield on “non-Fed days” (basis points), November 2008-December 2017. (「非FRB日」における10年物国債利回りの累積的変化(ベーシスポイント)、2008年11月ー2017年12月)

Note: Shaded areas denote QE periods. Source: Exhibit 4.6 in Greenlaw et al, A Skeptical View of the Impact of the Fed’s Balance Sheet. (陰影期間は量的緩和期を表す。グリーンローらの「FRBのバランスシートの影響についての懐疑的な見方」の図4.6より。)


The USMPF report’s results are really an indictment of the event study methodology employed in previous studies of QE, not of the policy itself. This is the point that Federal Reserve Bank Presidents Dudley (New York) and Rosengren (Boston) emphasize in their comments on the report. They highlight three ways in which these methods may overlook the stimulative impact of QE. First, to the extent that investors anticipated QE expansions, any disappointment on announcement could have raised the Treasury yield. Second, because Fed policy is both transparent and data-dependent, economic data releases that raise QE expectations would register the QE impact on “non-Fed days” rather than “Fed days.” In the extreme, where QE actions are fully anticipated, “Fed days” would show no impact whatsoever. Third, measures of the yield level do not capture the impact of QE on yield volatility, which also influences the risk premia on other financial assets.