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Applying a macro-finance yield curve to UK quantitative Easing

Chadha, Jagjit S., Waters, Alex (2013) Applying a macro-finance yield curve to UK quantitative Easing. Journal of Banking & Finance, 39 . pp. 68-86. ISSN 0378-4266. (doi:10.1016/j.jbankfin.2013.11.008) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:65131)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
https://doi.org/10.1016/j.jbankfin.2013.11.008

Abstract

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.

Item Type: Article
DOI/Identification number: 10.1016/j.jbankfin.2013.11.008
Uncontrolled keywords: Term structure of interest ratesMonetary policyQuantitative Easing JEL classifications: E43 E44 E47 E58 E65
Divisions: Faculties > Social Sciences > School of Economics
Depositing User: Jagjit Chadha
Date Deposited: 08 Dec 2017 14:38 UTC
Last Modified: 29 May 2019 20:01 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/65131 (The current URI for this page, for reference purposes)
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