The Portfolio Rebalancing Effects of the ECB's Asset Purchase Programme

Giovanna Bua and Peter Dunne
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Giovanna Bua: Central Bank of Ireland

International Journal of Central Banking, 2019, vol. 15, issue 5, 1-46

Abstract: We explore the transmission of the ECB's Public Sector Asset Purchase Programme (PSPP) via portfolio rebalancing of investment funds and their investors. Using dynamic panel methods, we find that PSPP-holding funds rebalance towards bonds of non-EA banks and away from maturities targeted for purchase. Other fund types rebalance into assets with longer durations and towards non-EA bonds issued by both non-financial corporations and sovereigns. Significant effects appear after the scaling-up of the program. There is no evidence of rebalancing towards European equities. The pattern of rebalancing over the period examined reflects a reluctance to increase exposures to liabilities of EA banks and corporates.

JEL-codes: C72 C82 D72 H00 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: The Portfolio Rebalancing Effects of the ECB's Asset Purchase Programme (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2019:q:5:a:1

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