Quantitative easing and the supply of safe assets: Evidence from international bond safety premia

• 成果类型: Article
• 署名作者: Christensen, Jens H. E.; Mirkov, Nikola N.; Zhang, Xin
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Sveriges Riksbank
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2025.104146
• 发表日期: 2025
• 关键词: Term structure modeling; Convenience yields; unconventional monetary policy; European central bank

摘要

Through large-scale asset purchases, widely known as quantitative easing (QE), central banks around the world have affected the supply of safe assets by buying quasi-safe bonds in exchange for truly safe reserves. We examine the pricing effects of the European Central Bank's bond purchases in the 2015-2021 period on an international panel of bond safety premia from four highly rated countries: Denmark, Germany, Sweden, and Switzerland. We find statistically significant negative effects for all four countries, highlighting an international spillover channel through which QE programs reduce bond safety premia by expanding the supply of truly safe assets.