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Are the effects of quantitative easing and tightening state contingent?
We provide evidence that quantitative easing (QE) and quantitative tightening (QT) policies are state contingent. Using 60 years of UK data on public-sector debt sales to the banking system we identify a novel bank funding shock that indicates the impact of unconventional monetary policies changes significantly over time, and that regimes are non-recurrent. Our approach also permits an appraisal of state contingency at different stages of transmission. Over successive QE rounds, we find the responsiveness of government bond yields to a given amount of QE falls. However, demand becomes more responsive to yield changes, while inflation exhibits more persistence and greater sensitivity to the output gap. In the presence of such state contingencies, our results suggest careful monitoring is needed when assessing the impact of QE policies.
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