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The Financial Market Impact of UK Quantitative Easing

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

Authors registered in the RePEc Author Service: Alex Waters ()

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)
New Economics Papers: this item is included in nep-fmk, nep-mac and nep-mon
Date: 2012-08
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Related works:
Chapter: The financial market impact of UK quantitative easing (2012) Downloads
Journal Article: The financial market impact of UK quantitative easing (2012) Downloads
Working Paper: The Financial Market Impact of UK Quantitative Easing (2012) Downloads
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