The effects of quantitative easing on the volatility of the gilt-edged market
James Steeley and
International Review of Financial Analysis, 2015, vol. 37, issue C, 113-128
We model the effects of quantitative easing on the volatility of returns to individual gilts, examining both the effects of QE overall and of the specific days of asset purchases. The action of QE successfully neutralized the six fold increase in volatility that had been experienced by gilts since the start of the financial crisis. The volatility of longer term bonds reduced more quickly than the volatility of short to medium term bonds. The reversion of the volatility of shorter term bonds to pre-crisis levels was found to be more sensitive to the specific operational actions of QE, particularly where they experienced relatively greater purchase activity.
Keywords: Quantitative easing; Gilts; UK bonds; Volatility; Bond investors (search for similar items in EconPapers)
JEL-codes: G12 E44 E52 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:37:y:2015:i:c:p:113-128
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