Eurosystem asset purchases and portfolio rebalancing in the euro area

Ralph S.J. Koijen, Francois Koulischer, Benoît Nguyen and Motohiro Yogo

Rue de la Banque, 2018, issue 60

Abstract: Who holds and sells the assets purchased by the Eurosystem? And how do these counterparties rebalance their portfolio? This Rue de la Banque shows that the major end-counterparty of the Eurosystem’s purchases is the non-resident sector, followed by banks and mutual funds from euro area countries as a whole. Purchases by the Eurosystem have enabled the majority of investors to reduce their exposure to duration risk and sovereign risk.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:rueban:2018:60

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