IDEAS home Printed from https://ideas.repec.org/a/boe/qbullt/0076.html
   My bibliography  Save this article

Using changes in auction maturity sectors to help identify the impact of QE on gilt yields

Author

Listed:
  • Banerjee, Ryan

    () (Bank of England)

  • McLaren, Nick

    () (Bank of England)

Abstract

Using 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.

Suggested Citation

  • Banerjee, Ryan & McLaren, Nick, 2012. "Using changes in auction maturity sectors to help identify the impact of QE on gilt yields," Bank of England Quarterly Bulletin, Bank of England, vol. 52(2), pages 129-137.
    • Handle: RePEc:boe:qbullt:0076
    as

    Download full text from publisher

    File URL: https://www.bankofengland.co.uk/-/media/boe/files/quarterly-bulletin/2012/using-changes-in-auction-maturity-sectors-to-help-identify-the-impact-of-qe-on-guilt-yields.pdf?la=en&hash=2AA343D8A77E071E4341E288F3EC4F27B9171DF7
    File Function: Full text
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Vayanos, Dimitri & Vila, Jean-Luc, 2009. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics 29308, London School of Economics and Political Science, LSE Library.
    2. Joyce, Michael & Tong, Matthew & Woods, Robert, 2011. "The United Kingdom’s quantitative easing policy: design, operation and impact," Bank of England Quarterly Bulletin, Bank of England, vol. 51(3), pages 200-212.
    3. Michael A.S. Joyce & Matthew Tong, 2012. "QE and the Gilt Market: a Disaggregated Analysis," Economic Journal, Royal Economic Society, vol. 122(564), pages 348-384, November.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boe:qbullt:0076. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Publications Group). General contact details of provider: http://edirc.repec.org/data/boegvuk.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.