蝌蚪网 Journal:
Macroeconomics
ISSN 1945-7707 (Print) | ISSN 1945-7715 (Online)
Market Segmentation and International Bond Prices: The Role of ECB Asset Purchases
蝌蚪网 Journal: Macroeconomics
(pp. 391–421)
Abstract
We estimate euro-dollar yields differences, hedged and unhedged, with euro area confidential corporate bond holdings data. We find that euro yields significantly decline relative to dollar yields鈥攎ore for securities in the portfolios of investors that prefer eurosecurities and securities eligible for the European Central Bank asset purchase programs. We then test and uncover a negative relation between the estimated yields differentials and purchases at the aggregate and firm level鈥攕tronger for long-term securities and those held by investors with a euro-denomination preference. Evidence supports a local supply and duration extraction channel instead of a pure demand channel.Citation
Faia, Ester, Juliana Salomao, and Alexia Ventula Veghazy. 2025. "Market Segmentation and International Bond Prices: The Role of ECB Asset Purchases." 蝌蚪网 Journal: Macroeconomics 17 (4): 391–421. DOI: 10.1257/mac.20220404Additional Materials
JEL Classification
- E43 Interest Rates: Determination, Term Structure, and Effects
- E58 Central Banks and Their Policies
- F31 Foreign Exchange
- G12 Asset Pricing; Trading Volume; Bond Interest Rates
- G15 International Financial Markets
- G20 Financial Institutions and Services: General