Keele Research Repository
Explore the Repository
Steeley, JM (2017) The effects of quantitative easing on the integration of UK capital markets. European Journal of Finance, 23 (11). pp. 999-1024. ISSN 1466-4364
This is the latest version of this item.
![[thumbnail of QUANTITATIVE EASING_docx3_j.docx]](https://eprints.keele.ac.uk/style/images/fileicons/text.png)
QUANTITATIVE EASING_docx3_j.docx - Accepted Version
Available under License Creative Commons Attribution Non-commercial.
Download (339kB)
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: | https://eprints.keele.ac.uk/id/eprint/5291 |
Available Versions of this Item
-
The effects of quantitative easing on UK capital market integration. (deposited 30 Mar 2017 13:21)
- The effects of quantitative easing on the integration of UK capital markets. (deposited 06 Sep 2018 08:21) [Currently Displayed]