The side effects of quantitative easing:evidence from the UK bond market

Steeley, James M. (2015). The side effects of quantitative easing:evidence from the UK bond market. Journal of International Money and Finance, 51 , pp. 303-336.

Abstract

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.

Publication DOI: https://doi.org/10.1016/j.jimonfin.2014.11.007
Divisions: Aston Business School > Accounting
Aston Business School > Economics finance & entrepreneurship
Aston Business School
Additional Information: NOTICE: this is the author’s version of a work that was accepted for publication in Journal of international money and finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Steeley, J. M. The side effects of quantitative easing: Evidence from the UK bond market. Journal of international money and finance, Vol.51 (2015) DOI http://dx.doi.org/10.1016/j.jimonfin.2014.11.007
Uncontrolled Keywords: quantitative easing,gilts,UK bonds,price efficiency,bond investors
Published Date: 2015-03
Authors: Steeley, James M. ( 0000-0003-0345-5089)

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