The Financial Market Impact of UK Quantitative Easing

38 Pages Posted: 20 Jun 2012 Last revised: 28 Apr 2014

See all articles by Francis Breedon

Francis Breedon

University of London, Queen Mary - School of Economics and Finance

Jagjit S. Chadha

University of St. Andrews - School of Management

A. Waters

affiliation not provided to SSRN

Date Written: May 1, 2012

Abstract

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

Breedon, Francis and Chadha, Jagjit S. and Waters, A., The Financial Market Impact of UK Quantitative Easing (May 1, 2012). BIS Paper No. 65p. Available at SSRN: https://ssrn.com/abstract=2081985 or http://dx.doi.org/10.2139/ssrn.2081985

Francis Breedon (Contact Author)

University of London, Queen Mary - School of Economics and Finance ( email )

Mile End Road
London, E1 4NS
United Kingdom

Jagjit S. Chadha

University of St. Andrews - School of Management ( email )

The Gateway
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St. Andrews, Fife KY16 9SS
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+44 1334 462440 (Phone)

HOME PAGE: http://www.st-andrews.ac.uk/economics/staff/pages/j.chadha.shtml

A. Waters

affiliation not provided to SSRN ( email )

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