Inspecting the Mechanism of Quantitative Easing in the Euro Area

Ralph Koijen, Francois Koulischer, Benoît Nguyen and Motohiro Yogo

No 26152, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: E52 F21 G11 G12 (search for similar items in EconPapers)
Date: 2019-08
New Economics Papers: this item is included in nep-eec, nep-mac and nep-mon
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Published as Koijen, Ralph S.J. & Koulischer, François & Nguyen, Benoît & Yogo, Motohiro, 2021. "Inspecting the mechanism of quantitative easing in the euro area," Journal of Financial Economics, Elsevier, vol. 140(1), pages 1-20.

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Journal Article: Inspecting the mechanism of quantitative easing in the euro area (2021)
Working Paper: Inspecting the Mechanism of Quantitative Easing in the Euro Area (2019)
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