Inspecting the mechanism of quantitative easing in the euro area
| Autor: | Francois Koulischer, Motohiro Yogo, Ralph S. J. Koijen, Benoît Nguyen |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
040101 forestry
Economics and Econometrics Government 050208 finance Strategy and Management Bond Yield (finance) 05 social sciences 04 agricultural and veterinary sciences Monetary economics Basis point Accounting Quantitative easing 0502 economics and business Government bond 0401 agriculture forestry and fisheries Portfolio Business Finance Credit risk |
| Zdroj: | Journal of Financial Economics. 140:1-20 |
| ISSN: | 0304-405X |
| DOI: | 10.1016/j.jfineco.2020.11.006 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full Text from ScienceDirect