The Financial Market Impact of UK Quantitative Easing
University of London, Queen Mary - School of Economics and Finance
Jagjit S. Chadha
University of Saint Andrews - School of Economics & Management
affiliation not provided to SSRN
May 1, 2012
BIS Paper No. 65p
QMUL Working Paper 696 August 2012
We measure the impact of the UK's initial 2009-10 Quantitative Easing (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 to 100 basis points. We also uncover significant effects of individual operations but limited pass through to other assets.
Full publication: Threat of Fiscal Dominance? http://ssrn.com/abstract=2078895
Number of Pages in PDF File: 38
Keywords: Term structure of interest rates, monetary policy, quantitative easing
JEL Classification: E43, E44, E47, E58working papers series
Date posted: June 12, 2012 ; Last revised: August 29, 2012
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