Market Segmentation and International Bond Prices: The Role of ECB Asset Purchases

• 成果类型: Article
• 署名作者: Faia, Ester; Salomao, Juliana; Veghazy, Alexia Ventula
• 署名单位: Goethe University Frankfurt; Centre for Economic Policy Research - UK; University of Minnesota System; University of Minnesota Twin Cities; European Central Bank
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20220404
• 发表日期: 2025
• 关键词: risk

摘要

We estimate euro-dollar yields differences, hedged and unhedged, with euro area confidential corporate bond holdings data. We find that euro yields significantly decline relative to dollar yields-more for securities in the portfolios of investors that prefer euro securities and securities eligible for the European Central Bank asset purchase programs. We then test and uncover a negative relation between the estimated yields differentials and purchases at the aggregate and firm level-stronger for long-term securities and those held by investors with a euro-denomination preference. Evidence supports a local supply and duration extraction channel instead of a pure demand channel. (JEL E43, E58, F31, G12, G15, G20)