QE AND THE GILT MARKET: A DISAGGREGATED ANALYSIS

• 成果类型: Article
• 署名作者: Joyce, Michael A. S.; Tong, Matthew
• 署名单位: Bank of England
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2012.02552.x
• 发表日期: 2012
• 页码: F348-F384
• 关键词: interest-rates; auctions; cost

摘要

We examine the impact of the first phase of the Bank of Englands quantitative easing (QE) programme during March 2009January 2010 on the UK government bond (gilt) market, using high-frequency, disaggregated data on individual gilts. We find that: QE announcements took varying amounts of time to get incorporated into market prices and had significant effects on the shape of the term structure; the Banks reverse auctions were initially associated with additional yield reductions; and, allowing for fiscal news and the changing macroeconomic outlook, QE appears to have had persistent effects on gilt yields.