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

摘要

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. (c) 2021 Elsevier B.V. All rights reserved.