In the aftermath of Brexit: The macroeconomic impacts of the UK's QE programme

• Autor(a) principal: Fernandes, Carlos Miguel da Costa Guerra
• Data de Publicação: 2021
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10071/22994
• topic: Asset purchase programme effects; Brexit; Impulse response functions; Quantitative easing; VAR model; Unconventional monetary policy; Efeitos do programa de compras; Modelo VAR; Política monetária não convencional

Following the United Kingdom’s vote to leave the European Union, the outlook for growth in the short to medium term weakened markedly, leading the Bank of England’s MPC to introduce a package of measures, such as a cut of the Bank Rate, the expansion of APF, a CBPS and a new TFS, designed to provide additional support to growth and to achieve a sustainable return of inflation to the target of 2%. This Dissertation assesses the macroeconomic effects of some of the unconventional monetary policy measures employed by the MPC on output, inflation, long-term yields and equity prices, as well as on the transmissions channels activated. Therefore, we observe the results from the impulse response functions with an identification scheme, under a VAR model, which relies on monthly data, between August 2016 and January 2019. The results suggest the actual QE asset purchase programme led to a significant initial increase of long-term yields, depreciation of the exchange rate and a reduction of measures of financial market uncertainty. For the remaining variables, there is no evidence of significance response to QE. The estimates are, in general, similar to studies which employ the same identification scheme. However, their magnitude appears to be smaller when compared with impacts from early QE programmes in the UK, supporting the hypothesis that the impacts from asset purchases on the economy are getting smaller with the expansion of QE programmes.