Paul Moumita, Reddy Kalluru Siva
Institute of Politics and Economics, Pune, 411 004 India.
J Quant Econ. 2022;20(1):137-157. doi: 10.1007/s40953-021-00257-9. Epub 2021 Oct 30.
This paper examines the long- and short-run spillover effects of US quantitative easing (QE) on the benchmark 10-year Indian government bond (IGB) yield by Autoregressive Distributed Lag (ARDL) bounds testing co-integration approach using monthly data from September 2008 to June 2019. The results show that a 10%-point rise in US QE led to a 4 bp rise in yields. The counterfactual analysis shows that volatility of the yields would have been less without the QE. During the episodes of QE, the Reserve Bank of India (RBI) had to alter its policy rate and engage in open-market operations (OMOs) to simultaneously maintain liquidity in the system and reduce the volatility of interest rates. Spillover on the debt yield leads to mispricing of assets and partial loss of the monetary-policy autonomy of the RBI.
本文采用自回归分布滞后（ARDL）边界检验协整方法，利用2008年9月至2019年6月的月度数据，研究了美国量化宽松（QE）对印度10年期基准国债（IGB）收益率的长期和短期溢出效应。结果表明，美国量化宽松上升10个百分点会导致收益率上升4个基点。反事实分析表明，如果没有量化宽松，收益率的波动性会更小。在量化宽松期间，印度储备银行（RBI）不得不调整其政策利率并进行公开市场操作（OMO），以同时维持系统流动性并降低利率波动性。债务收益率的溢出导致资产定价错误以及印度储备银行货币政策自主性的部分丧失。
