量化宽松和紧缩政策对企业有何影响？（英）

BIS Working PapersNo 1286 How Do Quantitative Easingand Tightening Affect Firms? by Egemen Eren, Denis Gorea and Daojing Zhai Monetary and Economic Department September 2025 JEL classification: E44, G11, G12, G23 Keywords: quantitative easing, quantitative tightening,debt, maturity, real effects BISWorking Papers are written by members of the Monetary and EconomicDepartment of the Bank for International Settlements, and from time to time by othereconomists, and are published by the Bank. The papers are on subjects of topicalinterest and are technical in character. The views expressed in them are those of theirauthors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). ©Bank for International Settlements 2025. All rights reserved. Brief excerpts may bereproduced or translated provided the source is stated. How Do Quantitative Easing and Tightening Affect Firms?† Egemen Eren†Denis Gorea‡Daojing Zhai§ August 25, 2025 Abstract We study how firms respond to quantitative easing (QE) and quantitative tightening (QT)policies of the Federal Reserve. We construct a novel time series of maturity-specific cen-tral bank balance sheet shocks covering multiple QE and QT programs. In response tocentral bank purchases of government bonds, we find that, on average, firms adjust theirdebt maturity structure, reduce interest expenses and accumulate cash, while their totaldebt, capital and employment remain largely unchanged.The impact of these policiesdiffers depending on the targeted maturity segment and the credit quality of firms. Policytransmission primarily runs via bond markets. There are positive spillovers to high-ratednon-US firms. Our findings can inform the design of balance sheet policies. Keywords: quantitative easing, quantitative tightening, debt, maturity, real effectsJEL Classification Numbers: E44, G11, G12, G23 Ben Bernanke 1Introduction Do central bank balance sheet policies genuinely affect economic activity in prac-tice? These policies, known as as quantitative easing (QE) and quantitative tightening(QT), typically involve the purchase, sale or run-off of government bonds to influencelong-term interest rates, portfolio allocations, and ultimately, real economic outcomes.While the immediate effects of QE and QT announcements on financial markets arewell-documented, the granular transmission of these policies over time, especially tofirms, remains less understood.In particular, how central bank balance sheet poli-cies – especially across different maturities – affect firm financing, investment, andemployment is still an open question. This paper aims to fill the gap by studying how the Federal Reserve’s balance sheetpolicies affect firm financing and real economic outcomes. We construct a novel timeseries of maturity-specific balance sheet shocks that isolates unanticipated variation inthe Federal Reserve’s US Treasury holdings and estimate impulse responses of firmoutcomes to these shocks. This allows us to examine how firm financing, investment,and hiring decisions respond to balance sheet interventions over time and across theyield curve. Our methodology to construct maturity-specific balance sheet shocks leverages theimplementation details of QE and QT policies. We construct these shocks by combin-ing surprises on both the Federal Reserve’s active purchases as part of its QE programsand the reinvestments of proceeds from maturing securities on its balance sheet. Webuild measures of market participants’ expectations regarding the evolution of theFederal Reserve’s US Treasury holdings across different maturity segments. To do so,we use detailed information taken from the Survey of Primary Dealers (SPD), quar- terly recommendations of the Treasury Borrowing Advisory Committee (TBAC) to theUS Treasury on the size and maturity composition of new issuance, and the Federal Re-serve’s own announcements of maturity weights in its QE programs. We compute theshocks by subtracting maturity-specific expectations of active purchases and reinvest-ments from realized amounts. This strategy provides a clean measure of unanticipatedshifts in central bank balance sheet policy, capturing time series of surprises across ma-turity segments covering multiple QE and QT programs between 2011 and 2024. Theshocks are economically meaningful, reaching up to around $50 billion per quarter orabout 1-2% of the government debt outstanding within each maturity segment. We combine these shocks with comprehensive firm-level and debt-instrument dataobtained from the S&P Global. Our sample covers public and private non-financialfirms in the United States and abroad between 2011Q1 and 2024Q2.For each firm,we observe detailed balance sheet information, debt composition by maturity and in-strument type, credit ratings, and employment. Debt instruments are categorized intocorporate bonds and term loans, allowing us to distinguish the bond market channelfrom the bank le