Quantitative Easing and the Term Premium: Evaluating the Portfolio Balancing Channel in Sweden and the United States
This study investigates the effectiveness of the portfolio balancing channel in the transmission of quantitative easing (QE) to term premiums in government bond yields in Sweden and the United States. Using an arbitrage-free Nelson-Siegel dynamic term structure model and a structural vector autoregressive (SVAR) framework, we estimate term premiums and assess the impact of central bank large-scale
