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
Data_Setup.do	text/plain	9.7 KB	10/12/2019 07:28:AM
Readme.docx	application/vnd.openxmlformats-officedocument.wordprocessingml.document	13.9 KB	10/12/2019 07:28:AM
Table1_Holdings.do	text/plain	1.3 KB	10/12/2019 07:28:AM
Table2_PSPP_eligible_debt_holdings.do	text/plain	1.6 KB	10/12/2019 07:28:AM
Table3_Rebalancing.do	text/plain	1.1 KB	10/12/2019 07:28:AM

Project Description

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:
      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

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Published Versions

V1 [2019-10-12]

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