Applying a macro-finance yield curve to UK quantitative easing

Jagjit S. Chadha and Alex Waters

We estimate a macro-finance yield curve model for both the nominal and real forward curve for the UK from 1993 to 2008. Our model is able to accommodate a number of key macroeconomic variables and allows us to estimate the instantaneous response of the yield curve and so gauge the impact of Quantitative Easing on forward rates. We find that 10 year nominal interest rates on average are lower by 46 basis points which can largely be explained by three main channels: portfolio balance; liquidity premium and signalling but there is no sizeable impact on real interest rates.

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Year of publication:	2014
Authors:	Chadha, Jagjit ; Waters, Alex
Publisher:	[Canterbury] : Univ. of Kent, School of Economics
Subject:	Term Structure of Interest Rates \| Monetary Policy \| Quantitative Easing \| Zinsstruktur \| Yield curve \| Geldpolitik \| Monetary policy \| Quantitative Lockerung \| Quantitative easing \| Theorie \| Theory \| Wirkungsanalyse \| Impact assessment \| Großbritannien \| United Kingdom \| Öffentliche Anleihe \| Public bond

Extent:	Online-Ressource (50 S.) graph. Darst.
Series:	Discussion papers / University of Kent, School of Economics. - Canterbury : [Verlag nicht ermittelbar], ZDB-ID 2196631-X. - Vol. 1418
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	hdl:10419/129986 [Handle]
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; E47 - Forecasting and Simulation ; E58 - Central Banks and Their Policies ; E65 - Studies of Particular Policy Episodes
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010472895