The financial market impact of UK quantitative easing

Breedon, Francis; Chadha, Jagjit S.; Waters, Alex

doi:10.1093/oxrep/grs033

Cited by 75 publications

(41 citation statements)

References 12 publications

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“…Much of the extant literature on the effects of the Bank's asset purchases also uses the event-study framework and documents significant reductions in government gilt yields in the wake of QE announcements (e.g., Breedon, Chadha, and Waters 2012;Joyce et al 2011;Joyce, McLaren, and Young 2012;Joyce and Tong 2012). The evidence from the Bank's first QE program, however, is inconclusive in terms of the equity market's responses to QE announcements.…”

Section: Figure 1 Timeline Of Mpc Information Dissemination Actionsmentioning

confidence: 99%

“…The evidence from the Bank's first QE program, however, is inconclusive in terms of the equity market's responses to QE announcements. Breedon, Chadha, and Waters () find that the Bank's bond purchase operations over the 2009–2010 period did not result in significant responses in the equity market. Joyce et al () consider the same period and show that equities exhibited small and positive responses that are not uniform across the six QE announcements in their sample.…”

Section: Introductionmentioning

confidence: 99%

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Quantitative Easing and the Uk Stock Market: Does the Bank of England Information Dissemination Strategy Matter?

2018

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We use intraday aggregate stock market data and an event‐study framework to assess the UK's equity market reaction to the unexpected element of the Bank of England Monetary Policy Committee's (MPC) asset purchase announcements for the 2009–2017 period. We assess the reactions of equity returns and their volatility over various time frames, both preceding and following the MPC announcements. Our results show that the UK unconventional monetary policy shocks have a significant impact on domestic equity returns and volatilities. The strength of this impact depends on the Bank's information dissemination through inflation reports and the publication of the MPC's voting records. (JEL G14, E44, E52)

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Section: Figure 1 Timeline Of Mpc Information Dissemination Actionsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Quantitative Easing and the Uk Stock Market: Does the Bank of England Information Dissemination Strategy Matter?

2018

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“…Studies include Breedon et al . (), Caglar et al . (), Bridges and Thomas (), Christensen and Rudebusch (), Fic (), Churm et al .…”

Section: The International Evidence To Date: Financial Marketsunclassified

A Survey of the International Evidence and Lessons Learned About Unconventional Monetary Policies: Is a ‘New Normal’ in Our Future?

Lombardi¹,

Siklos

Amand

2018

Journal of Economic Surveys

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This study examines the effectiveness of unconventional monetary policies (UMP). It considers whether these policies have been successful and where their effects remain uncertain. We survey both the domestic financial market and macro‐economic effects of UMP in the economies where these policies were introduced and their international spillover effects. The paper considers the impact of a wide range of UMP rather than the effects of specific policy instruments. We also provide a retrospective on the important case of Japan beginning in the late1990s and ask whether the Eurozone's experience with UMP is substantively different given its structure of policymaking. Finally, we ask: if the ‘old normal’ is not in our future, should the ‘new normal’ in monetary policy routinely include what we now refer to as UMP? We conclude that UMP can prevent economic collapse but are not designed to promote stronger long‐term economic growth. Apart from new communication strategies, the use of UMP under normal circumstances does not appear to be a sound monetary policy strategy. Failure to learn this lesson might also enable future policy makers to ask or expect too much from their central banks.

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“…An interesting issue would be to examine whether QE influenced the relationship between securities from different regions. The problem of the effects and sustainability of QE is also discussed in studies by Doh (2010), Gagnon et al (2010), Hamilton and Wu (2012), Hancock and Passmore (2011), Krishnamurthy andVissing-Jorgensen (2011), Wright (2012) and Breedon et al (2012).…”

Section: Literature Reviewmentioning

confidence: 99%

Portfolio diversification during monetary loosening policy

Makiel

2015

The Journal of Risk Finance

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If you would like to write for this, or any other Emerald publication, then please use our Emerald for Authors service information about how to choose which publication to write for and submission guidelines are available for all. Please visit www.emeraldinsight.com/authors for more information. About Emerald www.emeraldinsight.comEmerald is a global publisher linking research and practice to the benefit of society. The company manages a portfolio of more than 290 journals and over 2,350 books and book series volumes, as well as providing an extensive range of online products and additional customer resources and services.Emerald is both COUNTER 4 and TRANSFER compliant. The organization is a partner of the Committee on Publication Ethics (COPE) and also works with Portico and the LOCKSS initiative for digital archive preservation. AbstractPurpose -The purpose of the paper is to analyze the impact of quantitative easing (QE) performed in the USA on relationship between assets mainly from mining and oil industries. Based on the empirical results, the method of diversified portfolio creation has been proposed. Design/methodology/approach -Nine DCC-GARCH-type models have been estimated for each group centered around a main asset: a company from the oil or mining industry, the appropriate currency pair for its market of origin, commodities which could be used for the diversification of risk involved in investing in a portfolio containing the company, and the largest company from the same industry listed on the US market. Each series of conditional correlations was analyzed with regard to the changes that occurred during the various stages of QE. Findings -The correlations are shown to be stabilizing in the successive stages of QE. The most significant changes in the distribution of correlations can be observed after the first stage of QE. The effects of QE are evident not only in the USA but also in other countries; however, the level of its influence varies between different markets and assets. It is possible to diversify the inflation, currency and market portfolio risk by appropriately chosen asset decomposition. Research limitations/implications -The DCC model is limited, so to provide more precise results, more sophisticated models can be estimated and compared. Practical implications -The paper investigate the fact of stabilization in financial markets relations. The findings may prove the validity of continuation of QE. A portfolio creation method has been proposed -it has been stated that including commodity in portfolio is more appropriate then only-bond-equity mix. Originality/value -The new approach of analyzing financial stability has been proposed -the control for stability of conditional correlation.

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The financial market impact of UK quantitative easing

Cited by 75 publications

References 12 publications

Quantitative Easing and the Uk Stock Market: Does the Bank of England Information Dissemination Strategy Matter?

Quantitative Easing and the Uk Stock Market: Does the Bank of England Information Dissemination Strategy Matter?

A Survey of the International Evidence and Lessons Learned About Unconventional Monetary Policies: Is a ‘New Normal’ in Our Future?

Portfolio diversification during monetary loosening policy

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