Inspecting the mechanism of quantitative easing in the euro area

Ralph S.J. Koijen, François Koulischer, Benoît Nguyen, Motohiro Yogo

Research output: Contribution to journalArticlepeer-review

19 Scopus citations


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.

Original languageEnglish (US)
Pages (from-to)1-20
Number of pages20
JournalJournal of Financial Economics
Issue number1
StatePublished - Apr 2021

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics
  • Strategy and Management


  • Portfolio rebalancing
  • Quantitative easing
  • Risk concentration
  • Unconventional monetary policy


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