Credit easing versus quantitative easing: evidence from corporate and government bond purchase programs

Stefania D’Amico () and Iryna Kaminska
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Stefania D’Amico: Federal Reserve Bank of Chicago

No 825, Bank of England working papers from Bank of England

Abstract: Using security-level data, we analyse the effects of the Bank of England’s multiple rounds of gilt purchases (aka Quantitative Easing, QE) and its Corporate Bond Purchase Scheme (aka Credit Easing, CE) on corporate bond prices and issuance. This allows direct estimation of (i) QE’s cross-asset supply effects and (ii) the joint supply effects of QE and CE. We show that in the case of QE alone, the pass-through of the gilt supply shock to corporate bond prices is significant, is larger in the longer-run than at announcement, and is often limited to the default-free component of the corporate yield. In the case of the joint conduct of QE and CE, we find that the CE is more effective than QE in reducing credit spreads, especially for higher-rated bonds, and in stimulating corporate bond issuance, which responds quite rapidly to the corporate bond supply shock.

Keywords: Quantitative easing; Corporate Bond Purchase Scheme; monetary transmission mechanism; corporate bonds (search for similar items in EconPapers)
JEL-codes: E52 E58 E65 G12 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2019-09-20
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0825

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