Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/97352
Authors: 
Breedon, Francis
Chadha, Jagjit S.
Water, Alex
Year of Publication: 
2012
Series/Report no.: 
Working Paper, School of Economics and Finance, Queen Mary, University of London 696
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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