Inspecting the mechanism of quantitative easing in the euro area

• 成果类型: Article
• 署名作者: Koijen, Ralph S. J.; Koulischer, Francois; Nguyen, Benoit; Yogo, Motohiro
• 署名单位: University of Chicago; National Bureau of Economic Research; University of Luxembourg; European Central Bank; Bank of France; Princeton University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.11.006
• 发表日期: 2021
• 页码: 1-20
• 关键词: Portfolio rebalancing; quantitative easing; Risk concentration; unconventional monetary policy

摘要

Using security-level holdings for all euro-area investors, we study portfolio rebalancing during the quantitative easing program from March 2015 to December 2017. Foreign investors outside the euro area accommodated most of the Eurosystem's purchases. Duration, government credit, and corporate credit risk did not get concentrated in particular regions or investor sectors. We estimate a demand system for government bonds by instrumental variables to relate portfolio rebalancing to yield changes. Government bond yields decreased by 65 basis points on average, and this estimate varies from 38 to 83 basis points across countries. (C) 2020 Elsevier B.V. All rights reserved.