Steeley, JM ORCID: and Matyushkin, A (2014) The effects of quantitative easing on the volatility of the gilt-edged market. International Review of Financial Analysis, 37. 113 - 128.

J Steeley - The effects of quantitative easing on the volatility of the gilt edged market.pdf - Accepted Version
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We model the effects of quantitative easing on the volatility of returns to individual gilts, examining both the effects of QE overall and of the specific days of asset purchases. The action of QE successfully neutralized the six fold increase in volatility that had been experienced by gilts since the start of the financial crisis. The volatility of longer term bonds reduced more quickly than the volatility of short to medium term bonds. The reversion of the volatility of shorter term bonds to pre-crisis levels was found to be more sensitive to the specific operational actions of QE, particularly where they experienced relatively greater purchase activity.

Item Type: Article
Uncontrolled Keywords: Quantitative easing; GiltsUK; bonds; Volatility; Bond investors
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Humanities and Social Sciences > Keele Management School
Depositing User: Symplectic
Date Deposited: 14 Jun 2017 15:28
Last Modified: 15 May 2019 09:47

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