EconPapers    
Economics at your fingertips  
 

Applying a macro-finance yield curve to UK quantitative Easing

Jagjit Chadha () and Alex Waters ()

Journal of Banking & Finance, 2014, vol. 39, issue C, 68-86

Abstract: We estimate a macro-finance yield curve model for both the nominal and real forward curve for the UK from 1993 to 2008. Our model is able to accommodate a number of key macroeconomic variables and allows us to estimate the instantaneous response of the yield curve and so gauge the impact of Quantitative Easing on forward rates. We find that 10year nominal interest rates on average are lower by 46 basis points which can largely be explained by three main channels: portfolio balance; liquidity premium and signalling but there is no sizeable impact on real interest rates.

Keywords: Term structure of interest rates; Monetary policy; Quantitative Easing (search for similar items in EconPapers)
JEL-codes: E43 E44 E47 E58 E65 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426613004214
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Applying a Macro-Finance Yield Curve to UK Quantitative Easing (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:eee:jbfina:v:39:y:2014:i:c:p:68-86

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2017-06-14
Handle: RePEc:eee:jbfina:v:39:y:2014:i:c:p:68-86