The Portfolio Rebalancing Channel of Quantitative Easing
| Autor: | Valentin Jouvanceau |
|---|---|
| Přispěvatelé: | Groupe d'Analyse et de Théorie Economique Lyon - Saint-Etienne (GATE Lyon Saint-Étienne), École normale supérieure de Lyon (ENS de Lyon)-Université Lumière - Lyon 2 (UL2)-Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon-Université Jean Monnet - Saint-Étienne (UJM)-Centre National de la Recherche Scientifique (CNRS), Groupe d'analyse et de théorie économique (GATE Lyon Saint-Étienne), Centre National de la Recherche Scientifique (CNRS)-Université de Lyon-Université Jean Monnet [Saint-Étienne] (UJM)-Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université Lumière - Lyon 2 (UL2)-École normale supérieure - Lyon (ENS Lyon), Dao, Taï |
| Jazyk: | angličtina |
| Rok vydání: | 2016 |
| Předmět: |
securitization
JEL: E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E44 - Financial Markets and the Macroeconomy Financial intermediary Monetary economics Quantitative easing [SHS.ECO]Humanities and Social Sciences/Economics and Finance Bayesian vector autoregression financial intermediation JEL: G - Financial Economics/G.G2 - Financial Institutions and Services Shock (economics) JEL: E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy Central Banking and the Supply of Money and Credit/E.E5.E52 - Monetary Policy Economics Dynamic stochastic general equilibrium Portfolio [SHS.ECO] Humanities and Social Sciences/Economics and Finance Impulse response portfolio rebalancing channel Communication channel |
| Popis: | This paper analyzes the portfolio rebalancing channel of Quantitative Easing (QE hereafter) interventions. First, we identify the effects of a QE shock using a Bayesian VAR on US data using a sign and zero restrictions identification scheme. We find that QE shocks have substantial effects on corporate spreads with different ratings, supportive of a portfolio rebalancing channel. Second, we build a DSGE model with a securitzation mechanism. We confront the resulting impulse response functions to those uncovered by our VAR analysis, and find a fairly good match. Finally, we show that the portfolio rebalancing channel crucially affects the transmission of QE shocks to real economy. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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