The Impact of QE on Liquidity: Evidence from the UK Corporate Bond Purchase Scheme

Boneva, Lena; Elliott, David; Kaminska, Iryna; Linton, Oliver; McLaren, Nick; Morley, Ben

doi:10.2139/ssrn.3346331

Cited by 10 publications

(14 citation statements)

References 39 publications

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“…where j(i) denotes the unit in the control group which is matched with i. This setting is similar to that considered in Boneva et al (2018) who evaluate the effects of the UK government's corporate bond purchase scheme on market quality measures such as liquidity. The treatment in this study is continuously distributed and applied during an 18-month-period to a subset of all UK listed corporate bonds.…”

Section: Applicationmentioning

confidence: 99%

Multiscale clustering of nonparametric regression curves

Vogt

Linton

2020

Journal of Econometrics

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In a wide range of modern applications, we observe a large number of time series rather than only a single one. It is often natural to suppose that there is some group structure in the observed time series. When each time series is modelled by a nonparametric regression equation, one may in particular assume that the observed time series can be partitioned into a small number of groups whose members share the same nonparametric regression function. We develop a bandwidth-free clustering method to estimate the unknown group structure from the data. More precisely speaking, we construct multiscale estimators of the unknown groups and their unknown number which are free of classical bandwidth or smoothing parameters. In the theoretical part of the paper, we analyze the statistical properties of our estimators. Our theoretical results are derived under general conditions which allow the data to be dependent both in time series direction and across different time series. The technical analysis of the paper is complemented by a simulation study and a real-data application.

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Section: Applicationmentioning

confidence: 99%

Multiscale clustering of nonparametric regression curves

Vogt

Linton

2020

Journal of Econometrics

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“…In finance, there are many plausible examples of interest. For example, in evaluating the effect of corporate bond purchase schemes on market quality, the causal effect may depend not just on whether the bond is selected into the scheme but on how much of it is purchased (see Boneva, Elliott, Kaminska, Linton, McLaren, and Morley (2018)).…”

Section: Introductionmentioning

confidence: 99%

A unified framework for efficient estimation of general treatment models

Linton

Motegi

et al. 2021

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This paper presents a weighted optimization framework that unifies the binary, multivalued, and continuous treatment—as well as mixture of discrete and continuous treatment—under a unconfounded treatment assignment. With a general loss function, the framework includes the average, quantile, and asymmetric least squares causal effect of treatment as special cases. For this general framework, we first derive the semiparametric efficiency bound for the causal effect of treatment, extending the existing bound results to a wider class of models. We then propose a generalized optimization estimator for the causal effect with weights estimated by solving an expanding set of equations. Under some sufficient conditions, we establish the consistency and asymptotic normality of the proposed estimator of the causal effect and show that the estimator attains the semiparametric efficiency bound, thereby extending the existing literature on efficient estimation of causal effect to a wider class of applications. Finally, we discuss estimation of some causal effect functionals such as the treatment effect curve and the average outcome. To evaluate the finite sample performance of the proposed procedure, we conduct a small‐scale simulation study and find that the proposed estimation has practical value. In an empirical application, we detect a significant causal effect of political advertisements on campaign contributions in the binary treatment model, but not in the continuous treatment model.

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“…Finally, in some specifications, we also control for some liquidity measures, such as number of trades, or average trade size. Both measures are constructed from actual transactions and are computed, described and provided by Boneva et al (2019). In particular, as sterling corporate bonds trade relatively infrequently, with around one trade per day on average, these liquidity measures are taken at weekly frequency.…”

Section: Datamentioning

confidence: 99%

“…Concurrent studies byAbidi and Miquel-Flores (2018) and Todorov (2018) use a discontinuity design approach around the ECB's announcement of the CSPP, exploiting individual bond data, whileBoneva et al (2019) look at the impact of the CBPS auctions on the liquidity of individual corporate bonds.12 This is similar to the reaction of goverment bond prices during previous QE announcements (see e.g.,McLaren et al (2014) for the UK and D'Amico and King (2013) for the US).…”

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confidence: 99%

Credit Easing versus Quantitative Easing: Evidence From Corporate and Government Bond Purchase Programs

D’Amico

Kaminska

2019

SSRN Journal

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Using security-level data, we analyse the effects of the Bank of England's multiple rounds of gilt purchases (aka Quantitative Easing, QE) and its Corporate Bond Purchase Scheme (aka Credit Easing, CE) on corporate bond prices and issuance. This allows direct estimation of (i) QE's cross-asset supply effects and (ii) the joint supply effects of QE and CE. We show that in the case of QE alone, the pass-through of the gilt supply shock to corporate bond prices is significant, is larger in the longer-run than at announcement, and is often limited to the default-free component of the corporate yield. In the case of the joint conduct of QE and CE, we find that the CE is more effective than QE in reducing credit spreads, especially for higher-rated bonds, and in stimulating corporate bond issuance, which responds quite rapidly to the corporate bond supply shock.

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The Impact of QE on Liquidity: Evidence from the UK Corporate Bond Purchase Scheme

Cited by 10 publications

References 39 publications

Multiscale clustering of nonparametric regression curves

Multiscale clustering of nonparametric regression curves

A unified framework for efficient estimation of general treatment models

Credit Easing versus Quantitative Easing: Evidence From Corporate and Government Bond Purchase Programs

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