QE and the Gilt Market: a Disaggregated Analysis
利用高频分解数据，研究了2009年3月至2010年1月英格兰银行首轮量化宽松对英国国债市场的影响，发现QE公告对价格的影响时间不一，且对收益率曲线形态有显著作用。
We examine the impact of the first phase of the Bank of England's quantitative easing (QE) programme during March 2009–January 2010 on the UK government bond (gilt) market, using high‐frequency, disaggregated data on individual gilts. We find that: QE announcements took varying amounts of time to get incorporated into market prices and had significant effects on the shape of the term structure; the Bank's reverse auctions were initially associated with additional yield reductions; and, allowing for fiscal news and the changing macroeconomic outlook, QE appears to have had persistent effects on gilt yields.