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Quantitative Easing and Portfolio Rebalancing: Micro Evidence from Irish Resident Banks

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  • Bergant, Katharina

    (Central Bank of Ireland)

Abstract

This Economic Letter examines whether the portfolio rebalancing channel has been effective for Irish resident banks after the introduction of the ongoing Extended Asset Purchasing Programme (EAPP) initiated by the European Central Bank (ECB) in March 2015. Using a unique security level dataset on the programme’s purchases and banks’ holdings, I find that banks did not change purchasing trends regarding securities eligible to be bought under the EAPP. This is consistent with the hypothesis about exogenous constraints that might limit the pass-through of asset purchases to the real economy through the banking system.

Suggested Citation

  • Bergant, Katharina, 2017. "Quantitative Easing and Portfolio Rebalancing: Micro Evidence from Irish Resident Banks," Economic Letters 07/EL/17, Central Bank of Ireland.
    • Handle: RePEc:cbi:ecolet:07/el/17
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    File URL: https://www.centralbank.ie/docs/default-source/publications/economic-letters/vol-2017-no-7-quantitative-easing-and-portfolio-rebalancing-bergant.pdf?sfvrsn=4
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    References listed on IDEAS

    as
    1. De Long, J Bradford, et al, 1990. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-395, June.
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    3. R. S.J. Koijen & F. Koulischer & B. Nguyen & M. Yogo, 2016. "Quantitative Easing in the Euro Area: The Dynamics of Risk Exposures and the Impact on Asset Prices," Working papers 601, Banque de France.
    4. Crosignani, Matteo & Faria-e-Castro, Miguel & Fonseca, Luís, 2020. "The (Unintended?) consequences of the largest liquidity injection ever," Journal of Monetary Economics, Elsevier, vol. 112(C), pages 97-112.
    5. Alexander Rodnyansky & Olivier M. Darmouni, 2017. "The Effects of Quantitative Easing on Bank Lending Behavior," Review of Financial Studies, Society for Financial Studies, vol. 30(11), pages 3858-3887.
    6. Marco Di Maggio & Amir Kermani & Christopher Palmer, 2016. "How Quantitative Easing Works: Evidence on the Refinancing Channel," NBER Working Papers 22638, National Bureau of Economic Research, Inc.
    7. Luisa Carpinelli & Matteo Crosignani, 2017. "The Effect of Central Bank Liquidity Injections on Bank Credit Supply," Finance and Economics Discussion Series 2017-038, Board of Governors of the Federal Reserve System (U.S.).
    8. Giovanna Bua & Peter G. Dunne, 2019. "The Portfolio Rebalancing Effects of the ECB's Asset Purchase Programme," International Journal of Central Banking, International Journal of Central Banking, vol. 15(5), pages 1-46, December.
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    Cited by:

    1. Giovanna Bua & Peter G. Dunne, 2019. "The Portfolio Rebalancing Effects of the ECB's Asset Purchase Programme," International Journal of Central Banking, International Journal of Central Banking, vol. 15(5), pages 1-46, December.

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