QE and the Gilt Market: a Disaggregated Analysis


  • Corresponding author: Michael Joyce, Bank of England, Threadneedle Street, London EC2R 8AH, UK. Email: mike.joyce@bankofengland.co.uk.

  • The views expressed in this article are those of the authors and not necessarily those of the Bank of England or the Monetary Policy Committee. We are grateful to Martin Daines for his contribution to an earlier version of this manuscript. We thank Stefania D’Amico, George Kapetanios, Andrew Meldrum, Dimitri Vayanos, Robert Woods and Chris Young for helpful discussions. We are also grateful for comments and suggestions from two anonymous referees and participants at the Bank of England conference on ‘QE and other unconventional monetary policies’ held in November 2011 and at an earlier workshop held at the Bank of England in June 2011.


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.