IDEAS home Printed from https://ideas.repec.org/a/wly/econjl/vy2014i576p453-479.html

Using Changes in Auction Maturity Sectors to Help Identify the Impact of QE on Gilt Yields

Author

Listed:
  • Nick McLaren
  • Ryan N. Banerjee
  • David Latto

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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Nick McLaren & Ryan N. Banerjee & David Latto, 2014. "Using Changes in Auction Maturity Sectors to Help Identify the Impact of QE on Gilt Yields," Economic Journal, Royal Economic Society, vol. 0(576), pages 453-479, May.
    • Handle: RePEc:wly:econjl:v::y:2014:i:576:p:453-479
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/ecoj.2014.124.issue-576
    Download Restriction: no
    ---><---

    Other versions of this item:

    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:wly:econjl:v::y:2014:i:576:p:453-479. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/resssea.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.