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.

Journal of Financial Economics, Available online 21 November 2020
Benoit Nguyen
Benoit Nguyen
Team Lead Economist, PhD

My research interests include monetary policy implementation, money market, asset allocation, and digital finance.