Replication data for: Euro-Area Quantitative Easing and Portfolio Rebalancing
Principal Investigator(s): View help for Principal Investigator(s) Ralph S. J. Koijen; François Koulischer; Benoît Nguyen; Motohiro Yogo
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| 2017.01.13---AER-PP-Code | 10/12/2019 11:28:AM | ||
|
|
text/plain | 14.6 KB | 10/12/2019 07:28:AM |
Project Citation:
Koijen, Ralph S. J., Koulischer, François, Nguyen, Benoît, and Yogo, Motohiro. Replication data for: Euro-Area Quantitative Easing and Portfolio Rebalancing. Nashville, TN: American Economic Association [publisher], 2017. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113504V1
Project Description
Summary:
View help for Summary
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.
Scope of Project
JEL Classification:
View help for JEL Classification
E31 Price Level; Inflation; Deflation
E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
E52 Monetary Policy
E58 Central Banks and Their Policies
G20 Financial Institutions and Services: General
E31 Price Level; Inflation; Deflation
E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
E52 Monetary Policy
E58 Central Banks and Their Policies
G20 Financial Institutions and Services: General
Related Publications
Published Versions
Report a Problem
Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.
This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.