Steeley, JM (2014) The side-effects of Quantitative Easing: Evidence from the UK Bond Market. Journal of International Money and Finance: theoretical and empirical research in international economics and finance, 51. 303 - 336. ISSN 1873-0639

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We examine the returns to UK government bonds before, during and between the phases of quantitative easing to identify the side effects for the market itself. We show that the onset of QE led to a sustained reduction in the costs of trading and removed some return regularities. However, controlling for a wide range of market activity, including issuance and QE announcements, we find evidence that investors could have earned excess returns after costs by trading in response to the purchase auction calendar. Drawing on economic theory, we explore the implications of these findings for both the efficiency of the market and the costs of government debt management in both the short and long run.

Item Type: Article
Uncontrolled Keywords: Quantitative easingGiltsUK bondsPrice efficiencyBond 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 15:22
Last Modified: 15 May 2019 09:41

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