A Portfolio Model of Quantitative Easing

IF 0.9 Q3 BUSINESS, FINANCE Quarterly Journal of Finance Pub Date : 2022-09-02 DOI:10.1142/s2010139222500112
Jens H. E. Christensen, Signe Krogstrup
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Abstract

This paper presents a portfolio model of asset price effects arising from central bank large-scale asset purchases, or quantitative easing (QE). Two financial frictions — segmentation of the market for central bank reserves and imperfect asset substitutability — give rise to two distinct portfolio effects. One is well known and derives from the reduced supply of the purchased assets. The other is new, runs through banks’ portfolio responses to reserves expansions, and is independent of the types of assets purchased. The results imply that central bank reserve expansions can affect long-term bond prices even in the absence of long-term bond purchases.

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量化宽松的投资组合模型
本文提出了中央银行大规模资产购买或量化宽松(QE)所产生的资产价格效应的投资组合模型。两种金融摩擦——央行储备市场的分割和资产的不完全可替代性——产生了两种截然不同的投资组合效应。一种是众所周知的,源于购买资产的供给减少。另一种是新的,贯穿于银行对储备扩张的投资组合反应,与购买的资产类型无关。结果表明,即使在没有长期债券购买的情况下,央行储备扩张也会影响长期债券价格。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
自引率
0.00%
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0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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