Inspecting the Mechanism of Quantitative Easing in the Euro Area

Working Paper No. 26152 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 est...

Full description

Saved in:
Bibliographic Details
Published in:NBER Working Paper Series 2019-08, p.26152
Format: Article
Language:English
Subjects:
Asset acquisitions
Bond markets
Central banks
Credit risk
Demand curves
Economic models
Economic theory
Economics
Estimates
Euro
Eurozone
GDP
Government bonds
Gross Domestic Product
Monetary policy
Pension funds
Prices
Purchasing
Citations: Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:Working Paper No. 26152 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.
ISSN:0898-2937
DOI:10.3386/w26152