The Portfolio Rebalancing Channel of Quantitative Easing

Valentin Jouvanceau

No 1625, Working Papers from Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon

Abstract: 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.

Keywords: Quantitative easing; securitization; financial intermediation; portfolio rebalancing channel (search for similar items in EconPapers)
JEL-codes: E44 E52 G2 (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-cse and nep-dge
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Working Paper: The Portfolio Rebalancing Channel of Quantitative Easing (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:gat:wpaper:1625

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