Supply and demand shifts of shorts before Fed announcements during QE1–QE3

Cohen et al. (2007), find that shifts in the demand curve for shorting predict negative stock returns. We use their approach to examine supply and demand changes at the time of the Federal Open Market Committee (FOMC) announcements. We show that shifts in the demand for borrowing Treasuries and agen...

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Bibliographic Details
Published in:	Economics letters Vol. 200; p. 109718
Main Authors:	McInish, Thomas, Neely, Christopher J., Planchon, Jade
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01-03-2021 Elsevier Science Ltd
Subjects:	Agency securities Announcements Demand curves Large-scale asset purchases (LSAP) Monetary policy Quantitative easing Stocks Supply & demand Treasury bond short interest Treasury securities Agency securities Treasury bond short interest E52 E44 Treasury securities Quantitative easing Monetary policy G01 Large-scale asset purchases (LSAP) G1 E4 G18
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Summary:	Cohen et al. (2007), find that shifts in the demand curve for shorting predict negative stock returns. We use their approach to examine supply and demand changes at the time of the Federal Open Market Committee (FOMC) announcements. We show that shifts in the demand for borrowing Treasuries and agencies predict quantitative easing (QE). A reduction in the quantity demanded at all points along the demand curve predicts expansionary QE announcements.
ISSN:	0165-1765 1873-7374
DOI:	10.1016/j.econlet.2020.109718