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Figure 1. Central Bank Assets


Percent of nominal GDP, quarterly
Date Federal Reserve European Central Bank Bank of England Bank of Japan Swiss National Bank
2007:Q1 6.09 12.56 5.46 21.91 19.53
2007:Q2 5.98 12.93 5.39 19.47 19.2
2007:Q3 6.09 13.24 6.56 21.76 19.29
2007:Q4 6.06 15.77 6.74 21.7 21.67
2008:Q1 6.08 14.44 6.44 22.16 21.48
2008:Q2 6.01 15.18 6.01 20.15 22.88
2008:Q3 8.2 15.85 9.09 22.76 27.14
2008:Q4 15.48 22.07 16.12 25.5 36.13
2009:Q1 14.43 19.62 12.38 26.52 40.82
2009:Q2 14.12 21.65 14.94 23.22 41.44
2009:Q3 14.83 19.3 15.18 24.76 34.96
2009:Q4 15.29 20.38 15.67 25.75 35.01
2010:Q1 15.65 20.17 16.28 25.34 34.91
2010:Q2 15.59 22.65 16.04 23.39 49.94
2010:Q3 15.2 20.6 15.69 24.77 46.93
2010:Q4 15.88 20.77 15.58 26.91 44.07
2011:Q1 17.15 19.8 15.01 30.41 44.78
2011:Q2 18.47 20.2 14.69 27.77 41.65
2011:Q3 18.22 23.38 14.95 28.93 61.81
2011:Q4 18.46 27.89 17.74 29.98 55.82
2012:Q1 17.99 30.22 20.29 29.02 54.72
2012:Q2 17.73 31.59 21.87 30.3 69.9
2012:Q3 17.21 31.31 23.93 31.8 80.37
2012:Q4 17.75 30.12 24.62 33.41 79.53
2013:Q1 19.36 26.89 23.94 34.4 81.39
2013:Q2 20.85 24.51 23.53 38.95 77.02
2013:Q3 22.01 23.52 23.33 43.42 77.53
2013:Q4 23.61 22.74 23 46.36 76.49
2014:Q1 24.72 21.42 22.88 49.36 76.88
2014:Q2 25.06 20.74 22.62 52.88 78.7
2014:Q3 25.25 20.19 22.41 57.2 80.27
2014:Q4 25.41 21.31 not available 61.61 not available
Source: Federal Reserve Board; European Central Bank; Bank of England; Bank of Japan; Swiss National Bank.

Table 1. Empirical Studies of LSAPs

Research Paper Estimated Decline in 10-Year Treasury Yield (Basis points)
QE1: 12/5/2008-3/31/2010($1.25 trillion MBS purchases, $300 billion Treasury security purchases, $172 billion agency debt security purchases)
Gagnon et al. (2011) 91 (Event Studies); 36 to 82 (Regressions)
Krishnamurthy and Vissing-JØrgensen (2011) 100
D'Amico and King (2013) 20 to 30 (Treasury security purchases only)
D'Amico et al. (2012) 35 (Treasury security purchases only)
QE2: 11/12/2010-6/30/2011 ($600 billion Treasury security purchases)
Krishnamurthy and Vissing-JØrgensen (2011) 25
D'Amico et al. (2012) 55
Meaning and Zhu (2011) 21
Swanson (2011) 15
Maturity Extension Program: 10/3/2011-12/30/2012 ($667 billion Treasury security purchases, $667 billion Treasury security sales/maturities)
Hamilton and Wu (2012) 22
Meaning and Zhu (2012) 17
QE3: 9/14/2012-10/31/2014 ($823 billion MBS purchases, $790 billion Treasury security purchases)
Engen, Laubach, and Reifschneider (2015) 60
Note: The full references for the papers mentioned in table 1 are as follows. For QE1, Gagnon, Joseph, Matthew Raskin, Julie Remache, and Brian Sack (2011). "The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases (PDF)," International Journal of Central Banking, vol. 7 (March), pp. 3-43. Krishnamurthy, Arvind, and Annette Vissing-Jorgensen (2011). "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," Brookings Papers on Economic Activity, vol. 43 (Fall), pp. 215-87; D'Amico, Stefania, and Thomas B. King (2013). "Flow and Stock Effects of Large-Scale Treasury Purchases: Evidence on the Importance of Local Supply," Journal of Financial Economics, vol. 108 (May), pp. 425-48; D'Amico, Stefania, William English, David Lopez-Salido, and Edward Nelson (2012). "The Federal Reserve's Large-Scale Asset Purchase Programmes: Rationale and Effects," Economic Journal, vol. 122 (November), pp. F415-46. For QE2, Krishnamurthy, Arvind, and Annette Vissing-Jorgensen (2011). "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," Brookings Papers on Economic Activity, vol. 43 (Fall), pp. 215-87; D'Amico, Stefania, William English, David Lopez-Salido, and Edward Nelson (2012). "The Federal Reserve's Large-Scale Asset Purchase Programmes: Rationale and Effects," Economic Journal, vol. 122 (November), pp. F415-46; Meaning, Jack, and Feng Zhu (2011). "The Impact of Recent Central Bank Asset Purchase Programmes," BIS Quarterly Review (December), pp. 73-83; Swanson, Eric T. (2011). "Let's Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2," Brookings Papers on Economic Activity, vol. 42 (Spring), pp. 151-207. For Maturity Extension Program, Hamilton, James, and Jing (Cynthia) Wu (2012). "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," Journal of Money, Credit and Banking, vol. 44, pp. 3-46; Meaning, Jack, and Feng Zhu (2012), "The Impact of Federal Reserve Asset Purchase Programmes: Another Twist (PDF)," BIS Quarterly Review (March), pp. 23-30. For QE3, Engen, Eric, Thomas Laubach, and David Reifschneider (2015). "The Macroeconomic Effects of the Federal Reserve's Unconventional Monetary Policies (PDF)," Finance and Economics Discussion Series 2015‑005 (Washington: Board of Governors of the Federal Reserve System, January).

Figure 2. Effect of Balance Sheet Operations on the 10-Year Treasury Term Premium


Basis points, quarterly
Date Estimate of the path of the Treasury term premium effect Lower bound of 90 percent confidence interval Upper bound of 90 percent confidence interval
2015:Q1 -109.2299 -82.2141 -136.2457
2015:Q2 -104.0844 -77.8713 -130.2975
2015:Q3 -99.0434 -73.668 -124.4188
2015:Q4 -94.0975 -69.5999 -118.5951
2016:Q1 -89.3112 -65.7107 -112.9117
2016:Q2 -84.7412 -62.0104 -107.472
2016:Q3 -80.3896 -58.5006 -102.2786
2016:Q4 -76.2455 -55.1734 -97.3176
2017:Q1 -72.2943 -52.0159 -92.5727
2017:Q2 -68.5179 -49.0129 -88.0229
2017:Q3 -64.955 -46.2017 -83.7083
2017:Q4 -61.5877 -43.5663 -79.6091
2018:Q1 -58.4427 -41.1283 -75.7571
2018:Q2 -55.4566 -38.831 -72.0822
2018:Q3 -52.6556 -36.6978 -68.6134
2018:Q4 -50.025 -34.7143 -65.3357
2019:Q1 -47.5347 -32.8529 -62.2165
2019:Q2 -45.1792 -31.1085 -59.2499
2019:Q3 -42.9514 -29.4744 -56.4284
2019:Q4 -40.8348 -27.9347 -53.7349
2020:Q1 -38.8436 -26.5006 -51.1866
2020:Q2 -36.9815 -25.175 -48.788
2020:Q3 -35.2454 -23.9543 -46.5365
2020:Q4 -33.622 -22.8256 -44.4184
2021:Q1 -32.117 -21.7925 -42.4415
2021:Q2 -30.712 -20.8386 -40.5854
2021:Q3 -29.4119 -19.9676 -38.8562
2021:Q4 -28.2031 -19.1667 -37.2395
2022:Q1 -27.067 -18.4189 -35.7151
2022:Q2 -26.0094 -17.7298 -34.289
2022:Q3 -24.9896 -17.0636 -32.9156
2022:Q4 -23.918 -16.3421 -31.4939
2023:Q1 -22.8124 -15.5822 -30.0426
2023:Q2 -21.6709 -14.784 -28.5578
2023:Q3 -20.5382 -13.988 -27.0884
2023:Q4 -19.3806 -13.1652 -25.596
2024:Q1 -18.2256 -12.3408 -24.1104
2024:Q2 -17.0846 -11.5258 -22.6434
2024:Q3 -15.9591 -10.7221 -21.1961
2024:Q4 -14.8651 -9.9443 -19.7859
2025:Q1 -13.7964 -9.187 -18.4058
2025:Q2 -12.7389 -8.4386 -17.0392
2025:Q3 -11.7108 -7.7156 -15.706
2025:Q4 -10.7037 -7.0108 -14.3966

Note: Shaded area indicates 90 percent confidence interval. A straight, horizontal dashed line indicating the zero basis point level runs across the quarterly periods from 2015 through 2025 on the X-axis of the figure.

Source: Li and Wei (2013) and Ihrig et al. (2012). The full references for these papers are as follows: Li, Canlin, and Min Wei (2013). "Term Structure Modeling with Supply Factors and the Federal Reserve's Large-Scale Asset Purchase Programs (PDF)," International Journal of Central Banking, vol.9 (March), pp. 3-39; and Ihrig, Jane, Elizabeth Klee, Canlin Li, Brett Schulte, and Min Wei (2012). "Expectations about the Federal Reserve's Balance Sheet and the Term Structure of Interest Rates (PDF)," Finance and Economics Discussion Series 2012-57 (Washington: Board of Governors of the Federal Reserve System, July).

Figure 3. Estimated Effects of Unconventional Monetary Policies in the FRB/US Model (Unemployment)


Percent, quarterly
Date Unemployment
2008:Q1 0
2008:Q2 0
2008:Q3 0
2008:Q4 0
2009:Q1 0
2009:Q2 0
2009:Q3 0
2009:Q4 -0.02
2010:Q1 -0.05
2010:Q2 -0.08
2010:Q3 -0.1
2010:Q4 -0.14
2011:Q1 -0.17
2011:Q2 -0.21
2011:Q3 -0.24
2011:Q4 -0.3
2012:Q1 -0.36
2012:Q2 -0.43
2012:Q3 -0.51
2012:Q4 -0.59
2013:Q1 -0.66
2013:Q2 -0.75
2013:Q3 -0.84
2013:Q4 -0.94
2014:Q1 -1.02
2014:Q2 -1.09
2014:Q3 -1.14
2014:Q4 -1.18
2015:Q1 -1.19
2015:Q2 -1.19
2015:Q3 -1.17
2015:Q4 -1.13
2016:Q1 -1.09
2016:Q2 -1.03
2016:Q3 -0.97
2016:Q4 -0.9
2017:Q1 -0.83
2017:Q2 -0.76
2017:Q3 -0.69
2017:Q4 -0.61
2018:Q1 -0.55
2018:Q2 -0.48
2018:Q3 -0.42
2018:Q4 -0.36

Note: The estimated stimulus provided by the FOMC's forward guidance and asset purchases is measured as the difference between the actual evolution of the economy since early 2009 and the course of the economy predicted by counterfactual simulations, assuming the Federal Reserve did not undertake its unconventional monetary policy actions while allowing the same perceived economic shocks to aggregate spending and other fundamental factors to unfold as they did. For unemployment, a straight, horizontal dashed line indicating the zero basis point level runs across the quarterly periods from 2008 through 2018 on the X-axis of the figure.

Source: Engen, Laubach, and Reifschneider (2015). The full reference for this paper is Engen, Eric, Thomas Laubach, and David Reifschneider (2015). "The Macroeconomic Effects of the Federal Reserve's Unconventional Monetary Policies (PDF)," Finance and Economics Discussion Series 2015-005 (Washington: Board of Governors of the Federal Reserve System, January).

Figure 3. Estimated Effects of Unconventional Monetary Policies in the FRB/US Model (Inflation)


Percent, quarterly
Date Inflation
2008:Q1 0
2008:Q2 0
2008:Q3 0
2008:Q4 0
2009:Q1 0
2009:Q2 0
2009:Q3 0
2009:Q4 0
2010:Q1 0
2010:Q2 0.01
2010:Q3 0.02
2010:Q4 0.03
2011:Q1 0.03
2011:Q2 0.04
2011:Q3 0.05
2011:Q4 0.07
2012:Q1 0.08
2012:Q2 0.1
2012:Q3 0.13
2012:Q4 0.15
2013:Q1 0.18
2013:Q2 0.21
2013:Q3 0.25
2013:Q4 0.28
2014:Q1 0.32
2014:Q2 0.35
2014:Q3 0.38
2014:Q4 0.4
2015:Q1 0.42
2015:Q2 0.43
2015:Q3 0.44
2015:Q4 0.45
2016:Q1 0.45
2016:Q2 0.45
2016:Q3 0.45
2016:Q4 0.45
2017:Q1 0.45
2017:Q2 0.44
2017:Q3 0.43
2017:Q4 0.42
2018:Q1 0.41
2018:Q2 0.4
2018:Q3 0.38
2018:Q4 0.36

Note: The estimated stimulus provided by the FOMC's forward guidance and asset purchases is measured as the difference between the actual evolution of the economy since early 2009 and the course of the economy predicted by counterfactual simulations, assuming the Federal Reserve did not undertake its unconventional monetary policy actions while allowing the same perceived economic shocks to aggregate spending and other fundamental factors to unfold as they did.

Source: Engen, Laubach, and Reifschneider (2015). The full reference for this paper is Engen, Eric, Thomas Laubach, and David Reifschneider (2015). "The Macroeconomic Effects of the Federal Reserve's Unconventional Monetary Policies (PDF)," Finance and Economics Discussion Series 2015-005 (Washington: Board of Governors of the Federal Reserve System, January).

Figure 4. SOMA Maturities

Year Cumulative SOMA maturities (Billions of dollars, annual) Annual SOMA Maturities (Billions of dollars)
2015 285 285
2016 694 409
2017 1037 344
2018 1530 493
2019 1966 436
2020 2284 318
2021 2553 269
2022 2814 261
2023 2979 165
2024 3073 93
2025 3157 85

Note: System Open Market Account (SOMA) security holdings are as of 12/31/2014. The underlying mortgage-backed securities paydown path reflects current Federal Reserve holdings, Blue Chip interest rate forecasts, and the Richard and Roll (1989) prepayment model. The full reference for the paper is Richard, Scott F., and Richard Roll (1989). "Prepayments on Fixed-Rate Mortgage-Backed Securities," Journal of Portfolio Management, vol. 15 (Spring), pp. 73-82.

Source: Federal Reserve Bank of New York and Blue Chip Economic Indicators.

 

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Last Update: February 27, 2015