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Dimitri Vayanos

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About the author and department

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Relevant research

Gromb, D. and Vayanos, D. (2002), “Equilibrium and welfare in markets with financially constrained arbitrageurs”, Journal of Financial Economics, 66, 361-407.

Vayanos, D. and Vila, J-L. (2009), “A preferred-habitat model of the term-structure of interest rates”, Working paper, London School of Economics. LSE Research Online ID: 29308

Greenwood, R. and Vayanos, D. (2010), “Price pressure in the government bond market”, American Economic Review, Papers and Proceedings, 585-590.

Gromb, D. and Vayanos, D. (2010), “Limits of arbitrage”, Annual Review of Financial Economics, 2, 251-275.

Greenwood, R. and Vayanos, D. (2013), “Bond supply and excess bond returns”, Review of Financial Studies, accepted for publication. Available at and 

Guibaud, S., Nosbusch, Y., and Vayanos, D. (2013), “Bond market clienteles, the yield curve, and the optimal maturity structure of government debt”, Review of Financial Studies, 26, 1914-1961.

Evidence of impact

Doh, T. (2010), “The efficacy of large-scale asset purchases at the zero lower bound”, Federal Reserve of Kansas City Economic Review, 2, 5-34.

Joyce, M., Lasaosa, A., Stevens, I. and Tong, M. (2011), “The financial market impact of Quantitative Easing in the United Kingdom”, International Journal of Central Banking, 7, 113-161.

Yellen, J. (2011), “The Federal Reserve’s Asset Purchase Program”, Speech at the annual meetings of the American Social Science Association, available at

Williams, J. (2011), “Unconventional monetary policy: Lessons from the past three years”, Presentation to the Swiss National Bank Research Conference, available at

D’Amico, S. and King, T. (2012), “Flow and stock effect of large-scale treasury purchases: Evidence of the importance of local supply”, Discussion paper, Federal Reserve Board of Governors.

Joyce, M. (2012), “Quantitative easing and other unconventional monetary policies: Bank of England conference summary”, Bank of England Quarterly Bulletin, 1, 48-56.

Joyce, M. and Tong, M. (2012), “QE and the gilt market: A disaggregated analysis”, Discussion paper, Bank of England.

Li, C. and Wei, M. (2012), “Term-structure modelling with supply factors and applications to Federal Reserve’s large-scale asset purchase programs evaluation”, Discussion paper, Federal Reserve Board of Governors.

Relevant video and audio

Presentation at “The financial system in Eurozone and Greece: dysfunctional or built to last?” (December 2013) (go to 57:18):

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