Economics at your fingertips  

Monetary policy transmission during QE times: role of expectations and term premia channels

Iryna Kaminska () and Haroon Mumtaz ()
Additional contact information
Iryna Kaminska: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH
Haroon Mumtaz: Queen Mary University of London

No 978, Bank of England working papers from Bank of England

Abstract: This paper studies monetary policy transmission mechanisms during QE. Using high frequency yield curve event studies of monetary policy announcements in combination with a dynamic term structure model, we can identify four types of monetary policy surprises: action (working through effective policy rates), signalling (working through expected policy rates), policy uncertainty and QE-specific bond supply (both working through term premia). Applying the method to the case of the UK, we find that these channels have often operated together. Importantly, the main QE channels are transmitted to financial markets and the real economy in different ways, and only signalling is found to have ultimately affected inflation significantly.

Keywords: Monetary policy; quantitative easing; monetary transmission mechanism; high frequency data; dynamic term structure model; local projection model (search for similar items in EconPapers)
JEL-codes: C58 E43 E52 E58 G12 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2022-05-13, Revised 2022-08-31
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) ... -premia-channels.pdf Full text (application/pdf)

Related works:
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:

Access Statistics for this paper

More papers in Bank of England working papers from Bank of England Bank of England, Threadneedle Street, London, EC2R 8AH. Contact information at EDIRC.
Bibliographic data for series maintained by Digital Media Team ().

Page updated 2023-02-07
Handle: RePEc:boe:boeewp:0978