The Financial Market Impact of UK Quantitative Easing
After outlining some of the monetary developments associated with Quantitative Easing (QE), we measure the impact of the UK's initial 2009-10 QE Programme on bonds and other assets. First, we use a macro-finance yield curve both to create a counterfactual path for bond yields and to estimate the impact of QE directly. Second, we analyse the impact of individual QE operations on a range of asset prices. We find that QE significantly lowered government bond yields through the portfolio balance channel by around 50 or so basis points. We also uncover significant effects of individual operations but limited pass through to other assets.
|Date of creation:||Jun 2012|
|Date of revision:|
|Contact details of provider:|| Postal: School of Economics, University of Kent, Canterbury, Kent, CT2 7NP|
Phone: +44 (0)1227 827497
Web page: http://www.kent.ac.uk/economics/
|Order Information:|| Email: |
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.:
- Lars E.O. Svensson, 1994.
"Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994,"
NBER Working Papers
4871, National Bureau of Economic Research, Inc.
- Lars E. O. Svensson, 1994. "Estimating and Interpreting Forward Interest Rates; Sweden 1992-1994," IMF Working Papers 94/114, International Monetary Fund.
- Svensson, L.E.O., 1994. "Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994," Papers 579, Stockholm - International Economic Studies.
- António Afonso & Manuel M. F. Martins, 2010. "Level, Slope, Curvature of Sovereign Yield Curve and Fiscal Behaviour," Working Papers Department of Economics 2010/23, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
- Christopher J. Neely, 2010. "The large scale asset purchases had large international effects," Working Papers 2010-018, Federal Reserve Bank of St. Louis.
- Farooq Ahmad & James Steeley, 2008. "Secondary market pricing behaviour around UK bond auctions," Applied Financial Economics, Taylor & Francis Journals, vol. 18(9), pages 691-699.
- Chadha,Jagjit S. & Holly,Sean (ed.), 2011. "Interest Rates, Prices and Liquidity," Cambridge Books, Cambridge University Press, number 9781107014732, September.
- Hau, Harald & Massa, Massimo & Peress, Joël, 2005.
"Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change,"
CEPR Discussion Papers
4862, C.E.P.R. Discussion Papers.
- Harald Hau & Massimo Massa & Joel Peress, 2010. "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1681-1717, April.
- Eric T. Swanson, 2011.
"Let’s twist again: a high-frequency event-study analysis of operation twist and its implications for QE2,"
Working Paper Series
2011-08, Federal Reserve Bank of San Francisco.
- Eric T. Swanson, 2011. "Let's Twist Again: A High-Frequency Event-study Analysis of Operation Twist and Its Implications for QE2," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 42(1 (Spring), pages 151-207.
- Eric T. Swanson, 2011. "Let's Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2," 2011 Meeting Papers 982, Society for Economic Dynamics.
- Christopher Martin & Costas Milas, 2012.
"Quantitative easing: a sceptical survey,"
Oxford Review of Economic Policy,
Oxford University Press, vol. 28(4), pages 750-764, WINTER.
- Christopher Martin & Costas Milas, 2012. "Quantitative Easing: A Sceptical Survey," Working Paper Series 73_12, The Rimini Centre for Economic Analysis.
- Martin, C. & Milas, C., 2012. "Quantitative Easing:a Sceptical Survey," Department of Economics Working Papers 32987, University of Bath, Department of Economics.
- Joseph E. Gagnon & Matthew Raskin & Julie Remache & Brian P. Sack, 2011.
"Large-scale asset purchases by the Federal Reserve: did they work?,"
Economic Policy Review,
Federal Reserve Bank of New York, issue May, pages 41-59.
- Joseph E. Gagnon & Matthew Raskin & Julie Remache & Brian P. Sack, 2010. "Large-scale asset purchases by the Federal Reserve: did they work?," Staff Reports 441, Federal Reserve Bank of New York.
- Svensson, Lars E O, 1994. "Estimating and Interpreting Forward Interest Rates: Sweden 1992-4," CEPR Discussion Papers 1051, C.E.P.R. Discussion Papers.
- Nicola Anderson & John Sleath, 2001. "New estimates of the UK real and nominal yield curves," Bank of England working papers 126, Bank of England.
- Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S., 2006.
"The macroeconomy and the yield curve: a dynamic latent factor approach,"
Journal of Econometrics,
Elsevier, vol. 131(1-2), pages 309-338.
- Tom Doan, . "RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model," Statistical Software Components RTZ00047, Boston College Department of Economics.
- Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2004. "The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach," NBER Working Papers 10616, National Bureau of Economic Research, Inc.
- Joyce, Michael & Lasaosa, Ana & Stevens , Ibrahim & Tong, Matthew, 2010. "The financial market impact of quantitative easing," Bank of England working papers 393, Bank of England.
- Jonathan H. Wright, 2011. "What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound?," NBER Working Papers 17154, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:ukc:ukcedp:1211. 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: (Tracey Girling)
If references are entirely missing, you can add them using this form.