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Euro-area quantitative easing and portfolio rebalancing

Author(s): Koijen, RSJ; Koulischer, F; Nguyen, B; Yogo, Motohiro

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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.
Publication Date: May-2017
Citation: Koijen, RSJ, Koulischer, F, Nguyen, B, Yogo, M. (2017). Euro-area quantitative easing and portfolio rebalancing. American Economic Review, 107 (5), 621 - 627. doi:10.1257/aer.p20171037
DOI: doi:10.1257/aer.p20171037
ISSN: 0002-8282
Pages: 621 - 627
Type of Material: Journal Article
Journal/Proceeding Title: American Economic Review
Version: Final published version. Article is made available in OAR by the publisher's permission or policy.

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