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Following the imprint of the ECB's asset purchase programme on global bond and deposit flows

Author

Listed:
  • Stefan Avdjiev
  • Mary Everett
  • Hyun Song Shin

Abstract

We trace the imprint of the ECB's expanded asset purchase programme (APP) on international bond portfolios and euro-denominated deposits. Our analysis suggests that non-bank financial institutions (NBFIs) located outside the euro area sold large volumes of euro area government bonds and kept a substantial fraction of the proceeds as euro-denominated deposits, primarily in UK-resident banks. Since the APP's modalities did not allow the NBFIs to engage directly with the Eurosystem, their deposits left an international trail of euro-denominated claims. Our findings highlight the role of the United Kingdom as a gateway to the euro area financial system for investors outside the euro area.

Suggested Citation

  • Stefan Avdjiev & Mary Everett & Hyun Song Shin, 2019. "Following the imprint of the ECB's asset purchase programme on global bond and deposit flows," BIS Quarterly Review, Bank for International Settlements, March.
  • Handle: RePEc:bis:bisqtr:1903g
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    References listed on IDEAS

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    1. Portes, Richard & Rey, Helene, 2005. "The determinants of cross-border equity flows," Journal of International Economics, Elsevier, vol. 65(2), pages 269-296, March.
    2. Philip R. Lane & Gian Maria Milesi-Ferretti, 2008. "International Investment Patterns," The Review of Economics and Statistics, MIT Press, vol. 90(3), pages 538-549, August.
    3. Carpenter, Seth & Demiralp, Selva & Ihrig, Jane & Klee, Elizabeth, 2015. "Analyzing Federal Reserve asset purchases: From whom does the Fed buy?," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 230-244.
    4. Menzie Chinn & Jeffrey Frankel, 2008. "Why the Euro Will Rival the Dollar," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 55(3), pages 255-278, September.
    5. Masashi Saito & Yoshihiko Hogen, 2014. "Portfolio Rebalancing Following the Bank of Japan's Government Bond Purchases: Empirical Analysis Using Data on Bank Loans and Investment Flows," Bank of Japan Research Papers 14-06-19, Bank of Japan.
    6. repec:aea:aecrev:v:107:y:2017:i:5:p:621-27 is not listed on IDEAS
    7. Stefan Avdjiev & Patrick McGuire & Philip Wooldridge, 2015. "Enhanced data to analyse international banking," BIS Quarterly Review, Bank for International Settlements, September.
    8. repec:wly:jmoncb:v:49:y:2017:i:6:p:1225-1246 is not listed on IDEAS
    9. Dunne, Peter & Everett, Mary & Stuart, Rebecca, 2015. "The Expanded Asset Purchase Programme – What, Why and How of Euro Area QE," Quarterly Bulletin Articles, Central Bank of Ireland, pages 61-71, July.
    10. Eisenschmidt, Jens & Kedan, Danielle & Schmitz, Martin & Adalid, Ramón & Papsdorf, Patrick, 2017. "The Eurosystem’s asset purchase programme and TARGET balances," Occasional Paper Series 196, European Central Bank.
    11. Claudio Borio & Robert Neil McCauley & Patrick McGuire & Vladyslav Sushko, 2016. "Covered interest parity lost: understanding the cross-currency basis," BIS Quarterly Review, Bank for International Settlements, September.
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    Cited by:

    1. Horst, Maximilian & Neyer, Ulrike, 2019. "The impact of quantitative easing on bank loan supply and monetary policy implementation in the euro area," DICE Discussion Papers 325, University of Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).

    More about this item

    JEL classification:

    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F30 - International Economics - - International Finance - - - General
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General

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