The Portfolio Rebalancing Channel of Quantitative Easing
Valentin Jouvanceau  1@  
1 : Groupe d'analyse et de Théorie Economique  (GATE)  -  Site web
Groupe d'analyse et de Théorie Economique
93, chemin des Mouilles 69130 Ecully. 04 72 86 60 60 -  France

This paper analyzes the portfolio rebalancing channel of Quantitative Easing (QE thereafter) 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 securitization 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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