Table 15
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Decomposition of one-day responses of Canadian 10-year BEI to U.K. QE announcements

EventTen-year exp. inflationTen-year IRPneg. RRB liq. premiumTen-year BEI
Feb. 10, 200914948−61136
IFeb. 11, 200914949−61137
Change0101
Mar. 4, 200914728−59117
IIMar. 5, 200914631−61117
Change−13−20
May 6, 200915150−50151
IIIMay 7, 200915254−51155
Change1304
Aug. 5, 200916384−27221
IVAug. 6, 200916385−27221
Change0000
Nov. 4, 200915892−22228
VNov. 5, 200915890−22226
Change0−20−1
Feb. 3, 2010162103−21243
VIFeb. 4, 2010162102−22242
Change00−1−1
Oct. 5, 2011155416202
VIIOct. 6, 2011155408203
Change0−121
Total net change1404
EventTen-year exp. inflationTen-year IRPneg. RRB liq. premiumTen-year BEI
Feb. 10, 200914948−61136
IFeb. 11, 200914949−61137
Change0101
Mar. 4, 200914728−59117
IIMar. 5, 200914631−61117
Change−13−20
May 6, 200915150−50151
IIIMay 7, 200915254−51155
Change1304
Aug. 5, 200916384−27221
IVAug. 6, 200916385−27221
Change0000
Nov. 4, 200915892−22228
VNov. 5, 200915890−22226
Change0−20−1
Feb. 3, 2010162103−21243
VIFeb. 4, 2010162102−22242
Change00−1−1
Oct. 5, 2011155416202
VIIOct. 6, 2011155408203
Change0−121
Total net change1404

Notes: The decomposition of one-day responses of the Canadian 10-year BEI rate on seven U.K. QE announcement dates into changes in (i) the average expected inflation over the next 10 years, (ii) the 10-year inflation risk premium, and (iii) the negative of the RRB liquidity premium based on the preferred CLR-L model estimated with daily data. All numbers are measured in basis points and the daily changes are shown in bold.

Table 15
Open in new tab

Decomposition of one-day responses of Canadian 10-year BEI to U.K. QE announcements

EventTen-year exp. inflationTen-year IRPneg. RRB liq. premiumTen-year BEI
Feb. 10, 200914948−61136
IFeb. 11, 200914949−61137
Change0101
Mar. 4, 200914728−59117
IIMar. 5, 200914631−61117
Change−13−20
May 6, 200915150−50151
IIIMay 7, 200915254−51155
Change1304
Aug. 5, 200916384−27221
IVAug. 6, 200916385−27221
Change0000
Nov. 4, 200915892−22228
VNov. 5, 200915890−22226
Change0−20−1
Feb. 3, 2010162103−21243
VIFeb. 4, 2010162102−22242
Change00−1−1
Oct. 5, 2011155416202
VIIOct. 6, 2011155408203
Change0−121
Total net change1404
EventTen-year exp. inflationTen-year IRPneg. RRB liq. premiumTen-year BEI
Feb. 10, 200914948−61136
IFeb. 11, 200914949−61137
Change0101
Mar. 4, 200914728−59117
IIMar. 5, 200914631−61117
Change−13−20
May 6, 200915150−50151
IIIMay 7, 200915254−51155
Change1304
Aug. 5, 200916384−27221
IVAug. 6, 200916385−27221
Change0000
Nov. 4, 200915892−22228
VNov. 5, 200915890−22226
Change0−20−1
Feb. 3, 2010162103−21243
VIFeb. 4, 2010162102−22242
Change00−1−1
Oct. 5, 2011155416202
VIIOct. 6, 2011155408203
Change0−121
Total net change1404

Notes: The decomposition of one-day responses of the Canadian 10-year BEI rate on seven U.K. QE announcement dates into changes in (i) the average expected inflation over the next 10 years, (ii) the 10-year inflation risk premium, and (iii) the negative of the RRB liquidity premium based on the preferred CLR-L model estimated with daily data. All numbers are measured in basis points and the daily changes are shown in bold.

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