The Financial Market Impact of UK Quantitative Easing

Francis Breedon, Jagjit Chadha and Alex Water
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Alex Water: University of Kent

No 696, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: After outlining some of the monetary developments associated with Quantitative Easing (QE), we measure the impact of the UK's initial 2009-10 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 or so basis points. We also uncover significant effects of individual operations but limited pass through to other assets.

Keywords: Term structure of interest rates; Monetary policy; Quantitative Easing (search for similar items in EconPapers)
JEL-codes: E43 E44 E47 E58 (search for similar items in EconPapers)
Date: 2012-08-01
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Citations: View citations in EconPapers (64)

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Related works:
Chapter: The financial market impact of UK quantitative easing (2012)
Journal Article: The financial market impact of UK quantitative easing (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:696

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