Steeley, JM (2017) The effects of quantitative easing on the integration of UK capital markets. European Journal of Finance, 23 (11). pp. 999-1024.

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Abstract

We examine the effects of quantitative easing (QE) on the volatility of and correlation between stocks, short-term bonds and long-term bonds in the UK. Using a multivariate dynamic conditional correlation generalised autoregressive conditional heteroscedasticity model, we find that volatility in each of the markets experiences a significant increase during the financial crisis that is reversed during the first phase of QE. We find limited effects of the specific occurrence or intensity of QE activity on either the volatility or correlations for these asset classes, but some evidence that volatility persistence experienced temporary shifts during the sample period. We find short-term variability in the correlations between the markets during the crisis and QE periods, but cannot reject the hypothesis that correlations were constant throughout the sample period.

Item Type: Article
Additional Information: The final published version of this article is available at https://www.tandfonline.com/doi/full/10.1080/1351847X.2015.1067635
Uncontrolled Keywords: quantitative easing, integration, gilts, UK bonds, UK stocks, dynamic correlation
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: Faculty of Humanities and Social Sciences > Keele Management School
Depositing User: Symplectic
Date Deposited: 06 Sep 2018 08:21
Last Modified: 19 Mar 2019 09:37
URI: http://eprints.keele.ac.uk/id/eprint/5291

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