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
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
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Chapter: The financial market impact of UK quantitative easing (2012)
Journal Article: The financial market impact of UK quantitative easing (2012)
Working Paper: The Financial Market Impact of UK Quantitative Easing (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:wp696
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