Euro-Area Quantitative Easing and Portfolio Rebalancing
American Economic Review
vol. 107,
no. 5, May 2017
(pp. 621-27)
Abstract
We use new and comprehensive data on the security holdings of euro-area investors to document facts about the ongoing quantitative easing program. The holdings of purchase-eligible government bonds have strong home bias not only for banks but also for insurance companies, pension funds, and mutual funds, especially in the vulnerable countries. In response to the program, foreign investors sold most of the purchase-eligible government bonds. Banks also sold purchase-eligible government bonds to a lesser extent, but insurance companies and pension funds bought them. Thus, quantitative easing may have reduced the duration mismatch for these institutions.Citation
Koijen, Ralph S. J., François Koulischer, Benoît Nguyen, and Motohiro Yogo. 2017. "Euro-Area Quantitative Easing and Portfolio Rebalancing." American Economic Review, 107 (5): 621-27. DOI: 10.1257/aer.p20171037Additional Materials
JEL Classification
- E31 Price Level; Inflation; Deflation
- E43 Interest Rates: Determination, Term Structure, and Effects
- E44 Financial Markets and the Macroeconomy
- E52 Monetary Policy
- E58 Central Banks and Their Policies
- G20 Financial Institutions and Services: General