Inspecting the Mechanism of Quantitative Easing in the Euro Area
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.
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Copy CitationRalph S. J. Koijen, Francois Koulischer, Benoit Nguyen, and Motohiro Yogo, "Inspecting the Mechanism of Quantitative Easing in the Euro Area," NBER Working Paper 26152 (2019), https://doi.org/10.3386/w26152.Download Citation
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Published Versions
Koijen, Ralph S.J. & Koulischer, François & Nguyen, Benoît & Yogo, Motohiro, 2021. "Inspecting the mechanism of quantitative easing in the euro area," Journal of Financial Economics, Elsevier, vol. 140(1), pages 1-20. citation courtesy of 
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