The Financial Market Impact of UK Quantitative Easing
38 Pages Posted: 20 Jun 2012 Last revised: 28 Apr 2014
Date Written: May 1, 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?
Keywords: Term structure of interest rates, monetary policy, quantitative easing
JEL Classification: E43, E44, E47, E58
Suggested Citation: Suggested Citation