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来源类型Working Paper
规范类型报告
DOI10.3386/w26152
来源IDWorking 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
URLhttps://www.nber.org/papers/w26152
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/583826
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Ralph S. J. Koijen,Francois Koulischer,Benoit Nguyen,et al. Inspecting the Mechanism of Quantitative Easing in the Euro Area. 2019.
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