Identification of the Forward Guidance and QE Surprises in the UK

Using intraday data, I separately identify the Bank of England's forward guidance and quantitative easing surprises during the effective lower bound period in the UK. Then, I estimate asset price responses to these unconventional monetary policies. I show that both surprises significantly move gilt yields and term premia on days of monetary policy announcements. However, their impact persists for only a few months. I further document that only forward guidance is effective in moving stock prices and their volatility. While both surprises influence the British pound, the impact of forward guidance persists for at least six months.