Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/105566
Authors: 
Breedon, Francis
Chadha, Jagjit S.
Waters, Alex
Year of Publication: 
2012
Series/Report no.: 
School of Economics Discussion Papers 1211
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.
Subjects: 
Term Structure of Interest Rates
Monetary Policy
Quantitative Easing
JEL: 
E43
E44
E47
E58
Document Type: 
Working Paper

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