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|Title:||QE and the UK stock market: Does the Bank of England information dissemination strategy matter?|
|Keywords:||Equities Response;Equities Volatility;Intraday Data;Monetary Policy Committee|
|Abstract:||We use intraday aggregate stock market data and an event-study framework to assess the UK’s equity market reaction to the unexpected element of the Bank of England Monetary Policy Committee's asset purchase announcements for the 2009-2017 period. We assess the reactions of equity returns and their volatility over various time frames, both preceding and following the MPC announcements. Our results show that the UK unconventional monetary policy shocks have a significant impact on domestic equity returns and volatilities. The strength of this impact depends on the Bank’s information dissemination through inflation reports and the publication of the MPC's voting records.|
|Appears in Collections:||Dept of Economics and Finance Embargoed Research Papers|
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