The effects of quantitative easing on the volatility of the gilt-edged market

Steeley, James M.; Matyushkin, Alexander

doi:10.1016/j.irfa.2014.11.004

Cited by 17 publications

(23 citation statements)

References 43 publications

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“…There are also parallel literatures examining the effects of news on bond market returns and on volatility, for example, Jones et al (1998), Balduzzi et al, 2001, De Goeij andMarquering (2006), Brenner et al (2009), Nowak (2011 and Abad and Chulia (2013). Steeley and Matyushkin (2015) consider the effects of QE on bond market volatility.…”

Section: Quantitative Easing and Financial Marketsmentioning

confidence: 99%

The effect of quantitative easing on the variance and covariance of the UK and US equity markets

Shogbuyi

Steeley

2017

International Review of Financial Analysis

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Please cite this article as: Abiodun Shogbuyi, James M. Steeley , The effect of quantitative easing on the variance and covariance of the UK and US equity markets, International Review of Financial Analysis (2016), ABSTRACTWe examine the impact on the variance-covariance structure of UK and US equity markets of the Quantitative Easing (QE) operations implemented by the Bank of England (BoE) and the Federal Reserve (Fed). While the theory of portfolio balance suggests that QE operations could affect markets other than those in which the operations occur, prior analysis of these other markets is scarce. We find that while QE operations in general reduced equity volatility, day to day operations generated spikes in volatility in UK equities. We also find that BoE operations increased the covariance between the UK and US equity markets.

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Section: Quantitative Easing and Financial Marketsmentioning

confidence: 99%

The effect of quantitative easing on the variance and covariance of the UK and US equity markets

Shogbuyi

Steeley

2017

International Review of Financial Analysis

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“…Joyce, Miles, Scott, and Vayanos () support the view that unconventional monetary easing works through the portfolio substitution channel, thus affecting asset prices and investment decisions. According to Steeley and Matyushkin (), quantitative easing can also significantly affect bond market volatility in the case of the UK. Secondly, announcements about monetary easing policies can significantly reduce a country's currency and affect its variability, as shown in a GARCH framework by Kenourgios, Papadamou, and Dimitriou (, ).…”

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confidence: 99%

The informational content of unconventional monetary policy on precious metal markets

Papadamou

Sogiakas

2017

Journal of Forecasting

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This paper investigates the informational content of unconventional monetary policies and its effect on commodity markets, adopting a nonlinear approach for modeling volatility. The main question addressed is how the Bank of England, Bank of Japan, and European Central Bank's (ECB's) announcements concerning monetary easing affect two major commodities: gold and silver. Our empirical evidence based on daily and high-frequency data suggests that relevant information causes ambiguous valuation adjustments as well as stabilization or destabilization effects. Specifically, there is strong evidence that the Japanese Central Bank strengthens the precious metal markets by increasing their returns and by causing stabilization effects, in contrast to the ECB, which has opposite results, mainly due to the heterogeneous expectations of investors within these markets. These asymmetries across central banks' effects on gold and silver risk-return profile imply that the ECB unconventional monetary easing informational content opposes its stated mission, adding uncertainty in precious metals markets.

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“…Since the data is of daily frequency, the general macroeconomic variables, such as the GDP cannot be applied. Consequently, we consider the daily stock return as a proxy of the economic environment changes during the sample period suggested by previous study (Steeley & Matyushkin, 2015). Similarly, when the Fed launched the U.S. QE policies, there were other similar policies implemented by other leading economies from 1 January 2007 to January 2016.…”

Section: Methodology Datamentioning

confidence: 99%

“…Since this study examines the bond yield changes on a daily frequency, it is difficult to incorporate common indicators for economic change, such as, the change in GDP, we therefore use the daily stock return variable as a proxy, as suggested bySteeley and Matyushkin (2015).…”

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Spillover Effects of U.S. Quantitative Easing: Evidence From Global Bond Markets

Yu¹,

Hu²,

Gan³

2020

UCPA

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This study empirically examines the U.S. quantitative easing (QE) spillover effects on the global bond markets.With a novel measurement of the U.S. latest unconventional monetary shocks, we find that the U.S. QE policy shocks significantly lower the bond yields in developed markets during the entire U.S. QE phase. However, our results also suggest that not all U.S. monetary policy shocks at this period have the pronounced spillover effects on the global bond market. Moreover, the different responses between the advanced and emerging markets also suggest the potential direction of the global portfolio rebalancing activities, as well as the capital flows in global bond markets.

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The effects of quantitative easing on the volatility of the gilt-edged market

Cited by 17 publications

References 43 publications

The effect of quantitative easing on the variance and covariance of the UK and US equity markets

The effect of quantitative easing on the variance and covariance of the UK and US equity markets

The informational content of unconventional monetary policy on precious metal markets

Spillover Effects of U.S. Quantitative Easing: Evidence From Global Bond Markets

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