IESET.
Hypotheses·monetary·qe_zlb_effectiveness_term_premia

Fed QE programmes 2008–2014 lowered long-end yields and corporate spreads, raising asset prices and stimulating investment through portfolio-rebalancing and signalling channels even at the zero lower bound.

SUPPORTEDengine/runs/qe_zlb_effectiveness_term_premia

SUPPORTED — Cumulative 1-day 10y Treasury yield change across 5 easing announcements: -99.0 bp (threshold: <= -25.0 bp). Mean per-event: -19.8 bp (threshold: <= -5.0 bp). 4 of 5 events show a yield decline. Secondary: 30y cumul -59.0 bp, HY OAS cumul +0.0 bp.

confidence cueThis is a clear pass for the claim as written. It still applies only to this sample, period, and method.

policy briefNeeds review

In ordinary language

In plain terms, this asks whether qe announcement event is actually linked to better or worse treasury yield 10y from 2008 to 2014.

plain answer

The data clearly moved in the predicted direction. Cumulative 1-day 10y Treasury yield change across 5 easing announcements: -99.0 bp (threshold: <= -25.0 bp).

why it matters

This matters because monetary claims should change belief only when they survive a pre-declared empirical test.

how the test works

It compares 1 country or place units from 2008 to 2014, using a event study design.

what was measured
What changed
  • Qe announcement event
  • Fed balance sheet total assets
What we checked
  • Treasury yield 10y
  • Treasury yield 30y
  • Baa aaa corporate spread
what this does not prove

A single test is not the whole truth. It narrows the claim under a specific sample, time period, and method. Strong policy conclusions need the pattern to survive nearby tests, alternative data, and serious objections.

verification

No evidence packet has been generated yet.

Results

engine/runs/qe_zlb_effectiveness_term_premia
1007550250200820112014USA
illustrative sketch · run pending
No coefficients yet. When the model fires, this chart will show treasury_yield_10y across 1 sampled countries over 2008–2014.
The shapes above are stylised — none of the lines are real data.
Placeholder for qe_zlb_effectiveness_term_premia. Published chart will be generated from engine/runs/qe_zlb_effectiveness_term_premia/chart_data.json.

Who has skin in the game — schools predicting on this

1 school list this hypothesis as a test of their position. The chips below are school-level scoreboard outcomes, not a second hypothesis verdict.

hypothesis verdict vs scoreboard outcome

The banner verdict judges this hypothesis as written. The scoreboard asks whether each school's polarity-corrected prediction was right. Raw status is not a school win: SUPPORTED supports schools that needed SUPPORTED, but refutes schools that needed REFUTED.

New Keynesian (mainstream synthesis)wins if SUPPORTEDschool supported

Pre-registration

pre-registered
first-spec commit bae09ab · 2026-04-29T22:09:42Z

Fed QE programmes 2008–2014 lowered long-end yields and corporate spreads, raising asset prices and stimulating investment through portfolio-rebalancing and signalling channels even at the zero lower bound.

Falsification criterion — what would disprove this

set before the run · honoured after

This hypothesis is considered falsified if:

PRIMARY (dispositive): take six FOMC QE-related announcement dates (2008-11-25 QE1 launch, 2009-03-18 QE1 expansion, 2010-11-03 QE2, 2011-09-21 Operation Twist, 2012-09-13 QE3, 2013-12-18 QE3 taper). For the FIVE easing announcements, compute the 1-trading-day change in the 10-year Treasury yield (FRED:DGS10) using prior-trading-day close to next-trading-day close. The hypothesis is SUPPORTED if the cumulative 1-day yield change across the five easing announcements is at most -25 bp AND the per-event mean is at most -5 bp. REFUTED if cumulative > 0 bp OR zero of five easing events show a yield decline. PARTIAL if direction is correct but magnitude misses the cumulative threshold. INFORMATIVE (does not gate): 30y yield (DGS30) cumulative change, HY OAS (BAMLH0A0HYM2) cumulative change, BAA cumulative change, and the 5-day window as a robustness alternative. The taper announcement is graded separately and should RAISE 10y yields under the same channel. METHOD_VALID: at least 4 of 5 easing announcements have a tradable DGS10 observation within the +/- 2 trading-day window; all six dates fall inside the on-disk DGS10 vintage range.

formal test & threshold
test:      fed_qe_announcement_event_study_dgs10_1d_window
threshold: PRIMARY (both required): cumul_1d_dgs10_bp <= -25 AND avg_1d_dgs10_bp <= -5 across the five easing announcements.

Method

Template
event_study
Clustering
announcement
Sample
1 countries · 2008 – 2014
Evidence type
associational

Stub-level estimator pin for runnability audit. High-frequency event study around Fed QE1/QE2/QE3 announcement dates 2008-2014; outcomes are 10y/30y Treasury yields and corporate-spread (BAA-AAA, IG-OAS) changes in 30-minute and 1-day windows. Falsification rule and variables block remain to be filled when this stub is promoted from draft.

Data

VariableSourceTransform
treasury_yield_10y
outcome
fred:DGS10tier 1
level_change_bps
treasury_yield_30y
outcome
fred:DGS30tier 1
level_change_bps
baa_aaa_corporate_spread
outcome
fred:BAAtier 1
fred:AAAtier 1
spread_bps
high_yield_oas
outcome
fred:BAMLH0A0HYM2tier 1
level_change_bps
qe_announcement_event
treatment
constructed:event dates = 2008-11-25 (QE1 launch), 2009-03-18 (QE1 expansion), 2010-11-03 (QE2), 2011-09-21 (Operation Twist), 2012-tier 5
event_date
fed_balance_sheet_total_assets
treatment
fred:WALCLtier 1
log_diff
vix
control
fred:VIXCLStier 1
level
sp500
control
fred:SP500tier 1
log_diff
fed_funds_rate
control
fred:DFFtier 1
level

● ready  · ● pending  · ● reconstruct-needed

Detailed result card

QE at the ZLB: term-premia compression event study

Verdict: SUPPORTED — Cumulative 1-day 10y Treasury yield change across 5 easing announcements: -99.0 bp (threshold: <= -25.0 bp). Mean per-event: -19.8 bp (threshold: <= -5.0 bp). 4 of 5 events show a yield decline. Secondary: 30y cumul -59.0 bp, HY OAS cumul +0.0 bp.

Summary

  • Six FOMC QE-related announcement dates 2008-2013, FRED daily data.
  • PRIMARY: cumulative 1-day 10y Treasury yield change across the five easing announcements = -99.0 bp (SUPPORT threshold: <= -25 bp).
  • Mean per-event 1-day change: -19.8 bp (SUPPORT threshold: <= -5 bp).
  • 4 of 5 easing events show a 1-day yield decline.
  • 5-day cumulative 10y change: -75.0 bp.
  • Secondary 30y cumulative: -59.0 bp.
  • Secondary HY OAS cumulative: +0.0 bp (portfolio-rebalancing channel implies negative).
  • Taper (2013-12-18) 1-day 10y: +9.0 bp .

Per-event table (basis points)

| Event | Date | Kind | 10y 1d | 10y 5d | 30y 1d | BAA 1d | HY OAS 1d | |---|---|---|---:|---:|---:|---:|---:| | QE1 launch | 2008-11-25 | easing | -36.0 | -67.0 | -24.0 | -78.0 | NA | | QE1 expansion | 2009-03-18 | easing | -41.0 | -21.0 | -21.0 | -3.0 | NA | | QE2 | 2010-11-03 | easing | -10.0 | +2.0 | +11.0 | +18.0 | NA | | Operation Twist | 2011-09-21 | easing | -23.0 | +8.0 | -42.0 | +10.0 | NA | | QE3 | 2012-09-13 | easing | +11.0 | +3.0 | +17.0 | -26.0 | NA | | QE3 taper | 2013-12-18 | tightening | +9.0 | +15.0 | +3.0 | -19.0 | NA |

Method

Daily FRED yield series (DGS10, DGS30, BAA, BAMLH0A0HYM2). For each FOMC QE-related announcement date listed in spec.variables.treatment, compute the change between the previous trading day's close and the next trading day's close (1-day window). 5-day window is previous-trading-day → +5 trading days. Levels in percent are converted to basis points (×100).

Why a daily window rather than the canonical 30-min intraday window: FRED publishes daily close yields, not intraday tick data. The 1-day close-to-close window is a noisier-but-publicly-replicable proxy for the 30-min event window used in Gagnon-Raskin-Remache-Sack (2011) and Krishnamurthy-Vissing-Jorgensen (2011). The thresholds below were sized for this daily window rather than the literature's intraday window.

Falsification thresholds (dispositive, sharpened in v1 promotion): PRIMARY (both required for SUPPORTED): - cumulative 1-day DGS10 change across 5 easing announcements <= -25 bp - mean 1-day DGS10 change across 5 easing announcements <= -5 bp REFUTED if cumulative > 0 bp OR zero of five easing events show a decline. PARTIAL if direction is correct but cumulative magnitude misses threshold.

Data

  • fred:DGS10 (treasury_10y)
  • fred:DGS30 (treasury_30y)
  • fred:BAA (baa_corporate)
  • fred:BAMLH0A0HYM2 (high_yield_oas)
  • fred:WALCL (fed_balance_sheet)
  • fred:VIXCLS (vix)
  • fred:SP500 (sp500)
  • fred:DFF (fed_funds_rate)

Notes

Origin is auto-generated coverage-gap stub seeded from New Keynesian framing of QE1/2/3 as effective via portfolio rebalancing and signalling. Human review required before promotion.

Authored framework. Read the transparency note.