Euro-Area Quantitative Easing and Portfolio Rebalancing
Ralph S. J. Koijen, François Koulischer, Benoît Nguyen, Motohiro Yogo
American Economic Review · 2017 · Volume 107 · Issue 5
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.
Keywords
Price Level, Inflation, Deflation, Interest Rates: Determination, Term Structure, and Effects, Financial Markets and the Macroeconomy, Monetary Policy, Central Banks and Their Policies, Financial Institutions and Services: General
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