Using Changes in Auction Maturity Sectors to Help Identify the Impact of QE on Gilt Yields
Bibliographic Data
| ID | 9707329 |
|---|---|
| Authors | Nick 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) |
| Year | 2014 |
| Volume | 124 |
| Issue | 576 |
| Pages | 453-479 |
| Publication date | 2014-05-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/ecoj.12141 |
| OpenAlex | W2124220701 |
| Language | EN |
| Citations received | 5 |
| References cited | 12 |
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
Unconventional Monetary Policy and Wealth Inequalities in Great Britain
Quantitative Easing and the Price-Liquidity Trade-Off
Unconventional Monetary Policies in the Euro Area, Japan, and the United Kingdom
Using Changes in Auction Maturity Sectors to Help Identify the Impact of QE on Gilt Yields
Unexpected Supply Effects of Quantitative Easing and Tightening
| Unique citing works | 5 |
|---|---|
| Citations per year | 0,42 |
| Citation span | 2014 - 2024 (11) |
| Citation velocity | recent |
| Highly cited | No |
| Citation types | Neutral: 5 |