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Pré-publication, Document de travail Année : 2016

The Portfolio Rebalancing Channel of Quantitative Easing

Résumé

This paper analyzes the portfolio rebalancing channel of Quantitative Easing (QE hereafter) interventions. First, we identify the effects of a QE shock using a Bayesian VAR on US data using a sign and zero restrictions identification scheme. We find that QE shocks have substantial effects on corporate spreads with different ratings, supportive of a portfolio rebalancing channel. Second, we build a DSGE model with a securitzation mechanism. We confront the resulting impulse response functions to those uncovered by our VAR analysis, and find a fairly good match. Finally, we show that the portfolio rebalancing channel crucially affects the transmission of QE shocks to real economy.
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Dates et versions

halshs-01349870, version 1 (29-07-2016)

Identifiants

  • HAL Id : halshs-01349870 , version 1

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Valentin Jouvanceau. The Portfolio Rebalancing Channel of Quantitative Easing. 2016. ⟨halshs-01349870⟩
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Dernière date de mise à jour le 28/04/2024
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