Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/129986
Authors: 
Chadha, Jagjit S.
Waters, Alex
Year of Publication: 
2014
Series/Report no.: 
School of Economics Discussion Papers 1418
Abstract: 
We estimate a macro-finance yield curve model for both the nominal and real forward curve for the UK from 1993 to 2008. Our model is able to accommodate a number of key macroeconomic variables and allows us to estimate the instantaneous response of the yield curve and so gauge the impact of Quantitative Easing on forward rates. We find that 10 year nominal interest rates on average are lower by 46 basis points which can largely be explained by three main channels: portfolio balance; liquidity premium and signalling but there is no sizeable impact on real interest rates.
Subjects: 
Term Structure of Interest Rates
Monetary Policy
Quantitative Easing
JEL: 
E43
E44
E47
E58
E65
Document Type: 
Working Paper

Files in This Item:
File
Size
433.33 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.