Using changes in auction maturity sectors to help identify the impact of QE on gilt yields
AbstractUsing the information contained in economic news and data releases, financial markets have widely anticipated recent Monetary Policy Committee announcements about the amount of assets the Bank of England intends to purchase as part of its quantitative easing (QE) policy. This makes it increasingly difficult to identify the impact of QE on gilt yields. This article uses three ‘natural experiments’ associated with operational changes to the distribution of gilt purchases — in March 2009, August 2009 and February 2012 — to help overcome this identification problem. It finds that the ‘local supply’ channel, which can be identified using these events, can explain around half of the total impact of QE on gilt yields. The estimates of this effect are broadly similar across the three events; so the strength of this channel of QE does not appear to have changed significantly since gilt purchases were introduced in early 2009.
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Bibliographic InfoArticle provided by Bank of England in its journal Bank of England Quarterly Bulletin.
Volume (Year): 52 (2012)
Issue (Month): 2 ()
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jean-Luc Vila & Dimitri Vayanos, 2009.
"A Preferred-Habitat Model of the Term Structure of Interest Rates,"
FMG Discussion Papers, Financial Markets Group
dp641, Financial Markets Group.
- Dimitri Vayanos & Jean-Luc Vila, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," NBER Working Papers 15487, National Bureau of Economic Research, Inc.
- Vayanos, Dimitri & Vila, Jean-Luc, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7547, C.E.P.R. Discussion Papers.
- Dimitri Vayanos & Jean-Luc Vila, 2009. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 29308, London School of Economics and Political Science, LSE Library.
- Butt, Nicholas & Domit, Silvia & McLeay, Michael & Thomas, Ryland & Kirkham, Lewis, 2012. "What can the money data tell us about the impact of QE?," Bank of England Quarterly Bulletin, Bank of England, Bank of England, vol. 52(4), pages 321-331.
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