The side effects of quantitative easing: evidence from the UK bond market

James M. Steeley

Research output: Contribution to journalArticlepeer-review


We examine the returns to UK government bonds before, during and between the phases of quantitative easing to identify the side effects for the market itself. We show that the onset of QE led to a sustained reduction in the costs of trading and removed some return regularities. However, controlling for a wide range of market activity, including issuance and QE announcements, we find evidence that investors could have earned excess returns after costs by trading in response to the purchase auction calendar. Drawing on economic theory, we explore the implications of these findings for both the efficiency of the market and the costs of government debt management in both the short and long run.
Original languageEnglish
Pages (from-to)303-336
Number of pages4
JournalJournal of International Money and Finance
Early online date24 Nov 2014
Publication statusPublished - Mar 2015

Bibliographical note

NOTICE: this is the author’s version of a work that was accepted for publication in Journal of international money and finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Steeley, J. M. The side effects of quantitative easing: Evidence from the UK bond market. Journal of international money and finance, Vol.51 (2015) DOI


  • quantitative easing
  • gilts
  • UK bonds
  • price efficiency
  • bond investors


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