A THREAD on my new paper with @arebucci1 on the impact of #COVID-19-related central bank long-term asset purchases of sovereign debt (#QuantitativeEasing) on government bond yields in both Developed and #EmergingMarkets (1/n) papers.ssrn.com/sol3/papers.cf…
We analyze 20 #COVID-19 QE announcements made by 17 central banks (9 DM central banks, 11 EM central banks) using the classic event study framework of FFJR(1969), extending work of Vissing-Jorgensen and Krishnamurthy (2011) and Swanson (2011) who analyze Great Recession QE (2/n)
Starting with the Fed which led the pack with new QE: the 1-day impact of the Fed's $700 bn MBS+Treasury #QE 3/16 announcement on the US 10-year yield was -0.21% and "unlimited" QE announcement on 3/23 was -0.16%, only slightly smaller than past #GreatRecession era QE (3/n) 
As for #EmergingMarkets: the average impact of emerging market #QE announcements was significantly larger, averaging -0.37% and -0.63% over 1-day and 3-day windows, respectively (5/n)
For #EmergingMarkets, results are fairly similar when excluding event days where there is a simultaneous cut in the central bank's benchmark short-term rate (6/n)
We also show that all #GovernmentBond yields in our sample rose sharply in mid-March 2020, but fell substantially after the period of #QE announcements that we study in the paper. The Bloomberg Barclays Global Treasury Universal GDP Weighted Index illustrates this trend. (7/n)
In sum, QE continues to be effective in the U.S. and several other advanced economies. So far, it also has not been met by adverse reactions in emerging markets (8/n)
Global #CentralBanks, led by the Federal Reserve, managed to help stabilize gyrating government bond markets after the onset of the COVID-19 outbreak in the U.S. and the ensuing liquidity crisis (9/n)
