全球智库信息集成服务系统(G2TT): DP13906 Inspecting the Mechanism of Quantitative Easing in the Euro Area

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP13906
	DP13906 Inspecting the Mechanism of Quantitative Easing in the Euro Area
	Ralph Koijen; François Koulischer; Benoît Nguyen; Motohiro Yogo
发表日期	2019-08-06
出版年	2019
语种	英语
摘要	Using new data on security-level portfolio holdings by investor type and across countries in the euro area, we study portfolio rebalancing during the European Central Bank’s (ECB) purchase programme that started in March 2015. To quantify changes in risk concentration, we estimate the evolution of the distribution of duration, government, and corporate credit risk exposures across investor sectors and regions until the last quarter of 2017. Using these micro data, we show that 60% of ECB purchases are sold by non-euro area investors, and we do not find evidence that risks get concentrated in certain sectors or geographies. We estimate a sector-level asset demand system using instrumental variables to connect the dynamics of portfolio rebalancing to asset prices. Our estimates imply that government yields declined by 47bp, on average, but the estimates range from -28bp to -57bp across countries.
主题	Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations
URL	https://cepr.org/publications/dp13906
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/542787
推荐引用方式 GB/T 7714	Ralph Koijen,François Koulischer,Benoît Nguyen,et al. DP13906 Inspecting the Mechanism of Quantitative Easing in the Euro Area. 2019.