On the Transactions Costs of UK Quantitative Easing
In: Journal of Banking and Finance, Forthcoming
18 Ergebnisse
Sortierung:
In: Journal of Banking and Finance, Forthcoming
SSRN
Working paper
In: QMUL Working Paper No. 688
SSRN
Working paper
In: Swiss National Bank working papers 2011,4
Most quantitative easing programmes primarily involve central banks acquiring government liabilities in return for central bank reserves. In all cases this process is undertaken by purchasing these liabilities from private sector intermediaries rather than directly from the government. This paper estimates the cost of this round-trip transaction - government issuance of liabilities and central bank purchases of those liabilities in the secondary market - for the UK. I estimate that this cost amounts to about 0.5% of the total value of QE (over £1.8 billion in my sample). I also find some evidence that this figure is inflated by the unusual design of UK QE operations.
BASE
In: Queen Mary University London School of Economics and Finance Working Paper No. 932
SSRN
In: BIS Working Paper No. 571
SSRN
Working paper
In: Queen Mary, University of London, School of Economics and Finance WP 694
SSRN
Working paper
In: The economic journal: the journal of the Royal Economic Society, Band 110, Heft 466, S. 963-984
ISSN: 1468-0297
In: Discussion paper series 4586
In: International macroeconomics
SSRN
Working paper
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.
BASE
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.
BASE
In: Oxford review of economic policy, Band 28, Heft 4, S. 702-728
ISSN: 1460-2121
In: Journal of international economics, Band 140, S. 103713
ISSN: 0022-1996
In: Queen Mary, University of London. School of Economics and Finance Working Paper Series Number 684
SSRN
Working paper