QE and the Gilt Market: A Disaggregated Analysis

2012

171 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/2e0e721fbd319186e440d8e101b8c45ef41b932c

Citations in the corpus

• Quantitative Easing and Unconventional Monetary Policy – an Introduction (2012, unknown): “For the UK, Meier (2009) and Joyce et al. (2011 a,b ) found that the first round of the Bank of England’s asset purchases had economically significant effects on gilt yields.”
• Unconventional monetary policies: a re-appraisal (2018, unknown): “Joyce et al (2011) Event study –100bp15a (10,90) –415c Joyce and Tong (2012) Event study, time series regressions –97.616a (2.5) Christensen and Rudebusch (2012) Event study, affine no–arbitrage model of the term structure –4317a (47,–135,–12) McLaren et al (2014) Event study –9318a (52) tight: for…”
• Unconventional Monetary Policies in the Euro Area, Japan, and the United Kingdom (2018, unknown): “Joyce et al. (2011) find evidence that pension funds and insurance companies responded to the reduction in government bond yields by increasing their holdings of corporate bonds, leading to a reduction in corporate yields.”
• Asset Purchase Programmes and Financial Markets: Lessons from the Euro Area (2015, unknown): “5For instance, D’Amico and King (2013) for the US, and Joyce and Tong (2012) for the UK, document that flow effects represent a small part of the overall effect on yields.”
• Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison (2014, unknown): “1 (2010), Gagnon et al. (2011), Meaning and Zhu (2011), Neely (2010), Krishnamurthy and Vissing-Jorgenson (2011), Joyce and Tong (2012) and Swanson (2011), have identified announcements that they argue are complete surprises, and then simply added up the jumps in asset prices in short windows…”