The Profile of Cash Transfers between the Asset Purchase Facility and Her Majesty's Treasury
In: Bank of England Quarterly Bulletin 2013 Q1
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In: Bank of England Quarterly Bulletin 2013 Q1
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In: Bank of England Quarterly Bulletin 2015 Q3
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In: The Economic Journal, Band 124, Heft 576, S. 453-479
In: Oxford review of economic policy, Band 28, Heft 4, S. 671-701
ISSN: 1460-2121
In: The economic journal: the journal of the Royal Economic Society, Band 132, Heft 648, S. 2615-2643
ISSN: 1468-0297
Abstract
There is substantial uncertainty about the impact of quantitative easing on market liquidity. Identifying the impact is particularly challenging due to the potential for reverse causality, because liquidity considerations might affect quantitative easing purchases. We address this challenge by studying the Bank of England's 2016–7 Corporate Bond Purchase Scheme. In particular, we use granular offer-level data from the Corporate Bond Purchase Scheme auctions to construct proxy measures for the Bank of England's demand for bonds and auction participants' supply of bonds, allowing us to control for any reverse causality from liquidity to purchases. We find that Corporate Bond Purchase Scheme purchases improved the liquidity of purchased bonds.
In: Bank of England Working Paper No. 782
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Working paper
In: Bank of England Working Paper No. 997
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