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Dimitri Vayanos

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About the author and department

Personal webpage:
http://www.lse.ac.uk/finance/people/profiles/dimitriVayanos.aspx

Finance Department:
http://www.lse.ac.uk/finance/home.aspx

Relevant research

Gromb, D. and Vayanos, D. (2002), “Equilibrium and welfare in markets with financially constrained arbitrageurs”, Journal of Financial Economics, 66, 361-407. http://eprints.lse.ac.uk/448/

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 http://eprints.lse.ac.uk/29308/

Greenwood, R. and Vayanos, D. (2010), “Price pressure in the government bond market”, American Economic Review, Papers and Proceedings, 585-590. http://eprints.lse.ac.uk/28618/

Gromb, D. and Vayanos, D. (2010), “Limits of arbitrage”, Annual Review of Financial Economics, 2, 251-275. http://eprints.lse.ac.uk/29776/

Greenwood, R. and Vayanos, D. (2013), “Bond supply and excess bond returns”, Review of Financial Studies, accepted for publication. Available at http://eprints.lse.ac.uk/56564/ and http://personal.lse.ac.uk/vayanos/Papers/BSEBR_RFS14.pdf 

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. http://eprints.lse.ac.uk/37407/

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. http://www.kc.frb.org/PUBLICAT/ECONREV/PDF/10q2Doh.pdf

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. http://www.ijcb.org/journal/ijcb11q3a5.htm

Yellen, J. (2011), “The Federal Reserve’s Asset Purchase Program”, Speech at the annual meetings of the American Social Science Association, available at http://www.federalreserve.gov/newsevents/speech/yellen20110108a.htm

Williams, J. (2011), “Unconventional monetary policy: Lessons from the past three years”, Presentation to the Swiss National Bank Research Conference, available at http://www.frbsf.org/news/speeches/2011/john-williams-0923.html.

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. http://www.federalreserve.gov/pubs/feds/2012/201244/201244pap.pdf

Joyce, M. (2012), “Quantitative easing and other unconventional monetary policies: Bank of England conference summary”, Bank of England Quarterly Bulletin, 1, 48-56. http://www.bankofengland.co.uk/publications/Documents/quarterlybulletin/qb120104.pdf

Joyce, M. and Tong, M. (2012), “QE and the gilt market: A disaggregated analysis”, Discussion paper, Bank of England. http://www.bankofengland.co.uk/research/Documents/workingpapers/2012/wp466.pdf

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. http://www.federalreserve.gov/pubs/feds/2012/201237/201237pap.pdf

Relevant video and audio

Presentation at “The financial system in Eurozone and Greece: dysfunctional or built to last?” (December 2013) (go to 57:18): https://www.youtube.com/watch?v=mJJmCyPMDuE

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