Euro-Area Quantitative Easing and Portfolio Rebalancing

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 f...

Full description

Saved in:
Bibliographic Details
Published in:The American economic review 2017-05, Vol.107 (5), p.621-627
Main Authors: Koijen, Ralph S. J., Koulischer, François, Nguyen, Benoît, Yogo, Motohiro
Format: Article
Language:English
Subjects:
Bias
Corporate bonds
Data security
Euro
Financial portfolios
Financial securities
Government bonds
Insurance companies
Investment banking
Investors
MONETARY AND FINANCIAL MARKET INTERVENTION AROUND THE WORLD
Monetary policy
Mutual funds
Pension funds
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:0002-8282
1944-7981
DOI:10.1257/aer.p20171037