NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Francois Koulischer

Université du Luxembourg
Luxembourg School of Finance
6, rue Richard Coudenhove-Kalergi
L-1359 Luxembourg

E-Mail: Francois.koulischer@uni.lu
Institutional Affiliation: Université du Luxembourg

NBER Working Papers and Publications

August 2019Inspecting the Mechanism of Quantitative Easing in the Euro Area
with Ralph S. J. Koijen, Benoit Nguyen, Motohiro Yogo: w26152
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 go...
 
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