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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w26152 |
来源ID | Working Paper 26152 |
Inspecting the Mechanism of Quantitative Easing in the Euro Area | |
Ralph S. J. Koijen; Francois Koulischer; Benoit Nguyen; Motohiro Yogo | |
发表日期 | 2019-08-19 |
出版年 | 2019 |
语种 | 英语 |
摘要 | 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. |
主题 | Macroeconomics ; Monetary Policy ; International Economics ; International Factor Mobility ; Financial Economics ; Portfolio Selection and Asset Pricing |
URL | https://www.nber.org/papers/w26152 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583826 |
推荐引用方式 GB/T 7714 | Ralph S. J. Koijen,Francois Koulischer,Benoit Nguyen,et al. Inspecting the Mechanism of Quantitative Easing in the Euro Area. 2019. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w26152.pdf(327KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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