The Transmission of Unconventional Monetary Policy in UK Government Debt Markets

Meaning, Jack; Warren, James

doi:10.1177/002795011523400105

Cited by 6 publications

(6 citation statements)

References 17 publications

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“…They find that the reduction in the publicly available supply associated with the first quantitative easing programme decreased gilt yields by approximately 100 basis points. Studies by Breedon et al (2014), Meaning and Zhu (2011) and Meaning and Warren (2015) find quantitatively similar results. Assuming similar elasticities for supply and demand, such a shift would imply a fall in demand of roughly 12 per cent of the total gilt market.…”

Section: The Government Yield Curvesupporting

confidence: 53%

Section: Equity Premiummentioning

confidence: 98%

“…The outcome is very similar to the magnitude of the shock that we have implemented. et al (2012), then decays to zero over the Meaning and Warren (2015) following 4 quarters Household and corporate Cantor and Packer (1996), 50 basis points Shock persists for 6 quarters and then credit premium Alfonso et al (2012), Kiff et decays to zero over the following al. (2012), historical data and two quarters author's calculations Equity premium Historical data and author's 50 basis points Shock persists for 6 quarters and then calculations decays to zero over the following two quarters Table 2.…”

Section: Equity Premiummentioning

confidence: 99%

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The short–term economic impact of leaving the EU

Baker¹,

Carreras²,

Ebell³

et al. 2016

Natl. Inst. econ. rev.

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Our forecast, published in the UK chapter of this Review, is conditioned on the assumption that the result of the 23 June referendum is a vote to remain in the EU. The discussion of the economic impact in the first half of the year, and the accompanying uncertainty due to the very act of having the vote, is discussed in the UK chapter in this Review.However, there exists a significant possibility of a vote to leave the EU. The future is, by definition, uncertain and we normally represent this with a distribution of potential outcomes around our modal path for the economy. The referendum presents a particular instance where the future may be genuinely considered bi-modal, with two distinct paths. The outcome of the referendum will determine which of these future paths the UK economy takes.This note presents a simulation exercise designed to give a counterfactual of a world in which the UK votes to leave the EU. We discuss the short-run developments that are most likely to affect the UK economy in the immediate aftermath of a leave vote. We do this by introducing a range of shocks to our global econometric model designed to capture the effects of the UK leaving the EU. These shocks are layered together with a series of more long-run structural changes which are discussed by Ebell and Warren, in this Review.Focusing on the near-term implications, our analysis suggests that the level of GDP in 2017 will be 1 per cent lower than our baseline forecast presented in the UK section of this Review. By 2018 this loss of output widens to 2.3 per cent. Heightened risk and uncertainty will cause sterling to depreciate by around 20 per cent immediately following the referendum, which will result in an intense bout of inflationary pressure. Meanwhile, the same uncertainty induces a tightening of credit conditions and a fall in domestic demand as consumption and investment fall relative to the counterfactual of a vote to remain.We begin by detailing the process by which the UK would negotiate exiting the EU followed by a comprehensive exposition of the shocks that form the core of our shortrun analysis. We then conclude with the quantitative implications of our simulation exercise, macroeconomic policy responses and a discussion of the transition to the longer run, which is discussed in detail in Ebell and Warren, in this Review.

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Section: The Government Yield Curvesupporting

confidence: 53%

Section: Equity Premiummentioning

confidence: 98%

Section: Equity Premiummentioning

confidence: 99%

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The short–term economic impact of leaving the EU

Baker¹,

Carreras²,

Ebell³

et al. 2016

Natl. Inst. econ. rev.

Self Cite

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Section: Literaturesupporting

confidence: 55%

Modelling events: The short-term economic impact of leaving the EU

et al. 2016

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and Social Research is Britain's longest established independent research institute, founded in 1938. The vision of our founders was to carry out research to improve understanding of the economic and social forces that affect people's lives, and the ways in which policy can bring about change. Seventy-five years later, this remains central to NIESR's ethos. We continue to apply our expertise in both quantitative and qualitative methods and our understanding of economic and social issues to current debates and to influence policy. The Institute is independent of all party political interests.

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“…By contrast, Joyce et.al. (2012), Martin and Milas (2012) and Goodhart and Ashworth (2012), which considered the QE2 and QE3 periods in the UK, and Meaning and Warren (2015) suggest that these later QE operations did not reduce government bond yields by as much or at all. For the US bond market, D'Amico and King (2010), Gagnon et.al.…”

Section: Accepted Manuscriptmentioning

confidence: 96%

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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The Transmission of Unconventional Monetary Policy in UK Government Debt Markets

Cited by 6 publications

References 17 publications

The short–term economic impact of leaving the EU

The short–term economic impact of leaving the EU

Modelling events: The short-term economic impact of leaving the EU

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

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