量化宽松与安全资产供给：来自国际债券安全溢价的证据

IF 4 1区经济学 Q1 ECONOMICS

Journal of International Economics Pub Date : 2025-08-09 DOI:10.1016/j.jinteco.2025.104146

Jens H.E. Christensen , Nikola N. Mirkov , Xin Zhang

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引用次数: 0

摘要

通过大规模资产购买，即众所周知的量化宽松（QE），世界各国央行通过购买准安全债券以换取真正安全的储备，影响了安全资产的供应。我们研究了欧洲央行在2015-2021年期间购买债券对四个高评级国家（丹麦、德国、瑞典和瑞士）债券安全溢价的定价影响。我们发现，在统计上，这四个国家都存在显著的负面影响，这凸显了量化宽松计划通过扩大真正安全资产的供应来降低债券安全溢价的国际溢出渠道。

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Quantitative easing and the supply of safe assets: Evidence from international bond safety premia

Through large-scale asset purchases, widely known as quantitative easing (QE), central banks around the world have affected the supply of safe assets by buying quasi-safe bonds in exchange for truly safe reserves. We examine the pricing effects of the European Central Bank’s bond purchases in the 2015–2021 period on an international panel of bond safety premia from four highly rated countries: Denmark, Germany, Sweden, and Switzerland. We find statistically significant negative effects for all four countries, highlighting an international spillover channel through which QE programs reduce bond safety premia by expanding the supply of truly safe assets.

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来源期刊

Journal of International Economics ECONOMICS-

CiteScore

5.80

自引率

6.10%

发文量

期刊介绍： The Journal of International Economics is intended to serve as the primary outlet for theoretical and empirical research in all areas of international economics. These include, but are not limited to the following: trade patterns, commercial policy; international institutions; exchange rates; open economy macroeconomics; international finance; international factor mobility. The Journal especially encourages the submission of articles which are empirical in nature, or deal with issues of open economy macroeconomics and international finance. Theoretical work submitted to the Journal should be original in its motivation or modelling structure. Empirical analysis should be based on a theoretical framework, and should be capable of replication.