Similar Search Results

QE and the gilt market: a disaggregated analysis

Daines, Martin; Joyce, Michael; Tong, Matthew - Bank of England - 2012

We examine the impact of the first phase of the Bank of England’s quantitative easing (QE) programme during March 2009 to 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...

Persistent link: https://www.econbiz.de/10009358603

Expectations, risk premia and information spanning in dynamic term structure model estimation

Guimarães, Rodrigo - Bank of England - 2014

This article examines the nature of the empirical instability in dynamic term structure models. I show that using survey forecasts is an effective solution because it directly addresses the information imbalance at the heart of the instability: it increases the (cross-section) information on...

Persistent link: https://www.econbiz.de/10010839046

How non-Gaussian shocks affect risk premia in non-linear DSGE models

Andreasen, Martin - Bank of England - 2011

This paper studies how non-Gaussian shocks affect risk premia in DSGE models approximated to second and third order. Based on an extension of the work by Schmitt-Grohe and Uribe to third order, we derive propositions for how rare disasters, stochastic volatility, and GARCH affect any risk premia...

Persistent link: https://www.econbiz.de/10010704385

Evaluating the robustness of UK term structure decompositions using linear regression methods

Malik, Sheheryar; Meldrum, Andrew - Bank of England - 2014

positively related to uncertainty about future inflation, consistent with previous findings for the United States. Premia are …

Persistent link: https://www.econbiz.de/10011095595

Understanding the real rate conundrum: an application of no-arbitrage finance models to the UK real yield curve

Joyce, Michael; Kaminska, Iryna; Lildholdt, Peter - Bank of England - 2008

Long-horizon interest rates in the major international bond markets fell sharply during 2004 and 2005, at the same time as US policy rates were rising; a phenomenon famously described as a 'conundrum' by Alan Greenspan the Federal Reserve Chairman. But it was arguably the decline in...

Persistent link: https://www.econbiz.de/10005435687

Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves

Joyce, Michael; Lildholdt, Peter; Sorensen, Steffen - Bank of England - 2009

-year period that the UK monetary authorities have pursued an explicit inflation target, using a four-factor essentially affine … nominal forward rates into expected real short rates, expected inflation, real term premia and inflation risk premia. We find … that inflation risk premia and longer-term inflation expectations fell significantly when the Bank of England was made …

Persistent link: https://www.econbiz.de/10010704376