The effects of quantitative easing on the volatility of the gilt-edged market

Abstract

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.

Publication DOI: https://doi.org/10.1016/j.irfa.2014.11.004
Divisions: College of Business and Social Sciences > Aston Business School > Economics, Finance & Entrepreneurship
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, JM & Matyushkin, A, 'The effects of quantitative easing on the volatility of the gilt-edged market' International review of financial analysis, vol. 37 (2015) DOI http://dx.doi.org/10.1016/j.irfa.2014.11.004
Uncontrolled Keywords: quantitative easing,gilts,UK bonds,volatility,bond investors
Publication ISSN: 1873-8079
Last Modified: 18 Mar 2024 08:13
Date Deposited: 26 Jan 2015 12:20
PURE Output Type: Article
Published Date: 2015-01
Published Online Date: 2014-11-20
Authors: Steeley, James M. (ORCID Profile 0000-0003-0345-5089)
Matyushkin, Alexander

Download

[img]

Version: Accepted Version

| Preview

Export / Share Citation


Statistics

Additional statistics for this record