QE and the Gilt Market: A Disaggregated Analysis

Daines, Martin; Joyce, Michael; Tong, Matthew

doi:10.2139/ssrn.2167311

Cited by 15 publications

(3 citation statements)

References 17 publications

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“…The QE response lowers the long-term bond rate by around 100 basis points on impact. The scale of the initial QE response is broadly in line with QE1 in the United Kingdom (Daines et al, 2012) and the decline in the long-term bond rate is similar to the estimated effect of QE1 in Joyce et al (2011).…”

Section: Examplesupporting

confidence: 61%

Optimal Policy with Occasionally Binding Constraints: Piecewise Linear Solution Methods

Harrison

Waldron

2021

SSRN Journal

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This paper develops a piecewise linear toolkit for optimal policy analysis of linear rational expectations models, subject to occasionally binding constraints on (multiple) policy instruments and other variables. Optimal policy minimises a quadratic loss function under either commitment or discretion. The toolkit accounts for the presence of 'anticipated disturbances' to the model equations, allowing optimal policy analysis around scenarios or forecasts that are not produced using the model itself (for example, judgement-based forecasts such as those often produced by central banks). The flexibility and applicability of the toolkit to very large models is demonstrated in a variety of applications, including optimal policy experiments using a version of the Federal Reserve Board's FRB/US model.

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Section: Examplesupporting

confidence: 61%

Optimal Policy with Occasionally Binding Constraints: Piecewise Linear Solution Methods

Harrison

Waldron

2021

SSRN Journal

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“…Most prior research on the impact of government bond purchasing measures on government bond yields finds that it reduced long-term interest rates, compiled in Appendix Table 2 in IMF (2013) and Annex A in Ehlers (2012). See D'Amico and King (2013), Daines, Joyce, and Tong (2012) and Fratzscher, Duca, and Straub (2013).…”

Section: Related Literature Focusing On the Impact Of Purchases Of mentioning

confidence: 99%

The impact of government bond purchases by the central banks in Japan, the United States, and the United Kingdom

Nakazawa

2020

Pacific Economic Review

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This paper analyzes the impact on financial markets of purchases of government bonds under the zero lower bound on interest rates. Using data of amount of government bonds purchased by the central banks which are categorized by remaining maturity as reported in Nakazawa and Yano (2014) “Portfolio rebalancing effects of open market operations after the global financial crisis: Evaluation through the construction of the data of purchases of government bonds categorized by remaining maturity,” KIER Discussion Paper Series, Kyoto Institute of Economic Research, Kyoto University (forthcoming, in Japanese), we compare impacts for Japan, the United States, and the United Kingdom. The analysis finds that all three countries had a significant rise in share prices as a result of purchases of government bonds with long remaining maturity by the central banks. The results imply that the quality of capital markets plays a key role in escaping from the global financial crisis.

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“… 27 There is some reference to this effect reducing any fall in gilt yields in Daines et al . (2012). …”

mentioning

confidence: 99%

Monetary policy, asset prices and financial institutions

Booth

2013

Ann. actuar. sci.

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The operation of monetary policy is likely to affect securities markets and asset values. This is of relevance to actuaries who work in or advise non-bank financial institutions such as pension funds and insurance companies. This paper examines different theories of monetary policy and the relationship between monetary policy and asset prices. It is found that central bank models have, at least until recently, tended to sideline consideration of the transmission of monetary policy through asset markets but that, with the implementation of quantitative easing, it is a subject that cannot be ignored. Many monetary schools, in fact, suggest that asset markets can be significantly affected by changes to monetary policy and those schools have lessons for important aspects of actuarial theory and practice.

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QE and the Gilt Market: A Disaggregated Analysis

Cited by 15 publications

References 17 publications

Optimal Policy with Occasionally Binding Constraints: Piecewise Linear Solution Methods

Optimal Policy with Occasionally Binding Constraints: Piecewise Linear Solution Methods

The impact of government bond purchases by the central banks in Japan, the United States, and the United Kingdom

Monetary policy, asset prices and financial institutions

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