Using Changes in Auction Maturity Sectors to Help Identify the Impact of QE on Gilt Yields

Dados Bibliográficos

ID9707329
AutoresNick McLaren (Bank of England), Ryan N Banerjee (Bank for International Settlements), Ryan Banerjee (0000-0002-5523-7334, Bank for International Settlements), David Latto (Bank of England)
Ano2014
Volume124
Fascículo576
Páginas453-479
Data de publicação2014-05-01
Peer ReviewedSim
Open AccessSim
TipoARTICLE
PeriódicoThe Economic Journal (JOURNAL)
Identificadores do periódicoISSN: 0013-0133 • E-ISSN: 1468-0297
EditoraOxford University Press (OUP) (PUBLISHER)
DOI10.1111/ecoj.12141
OpenAlexW2124220701
IdiomaEN
Citações recebidas5
Referências citadas12

This article uses a novel way of identifying part of the impact of quantitative easing (QE) on gilt yields, using natural experiments associated with Bank of England announcements about changes in the maturity distribution of future gilt purchases. We find that changes in expected QE purchases had a significant effect on gilt yields following each announcement in March 2009, August 2009 and February 2012. The local supply effects we identify appear to be important: they may account for around half of the total impact on gilt yields in these events, and are passed through to yields of related assets

Business · Central bank · Distribution (mathematics · Economics · Maturity (psychological · Monetary economics · Monetary policy · Natural experiment · Political science · Quantitative easing · Statistics · Financial Markets and Investment Strategies · Housing Market and Economics · Mathematics · Monetary Policy and Economic Impact