00000nam 2200000za 4500 9.859593 CaOODSP 20221107160304 cr ||||||||||| 180725s2018 oncd #ob f000 0 eng d CaOODSP eng eng fre FB3-5/2018-33E-PDF Goldstein, Itay. Following the money [electronic resource] : evidence for the portfolio balance channel of quantitative easing / by Itay Goldstein, Jonathan Witmer and Jing Yang. Evidence for the portfolio balance channel of quantitative easing Ottawa : Bank of Canada, 2018. ii, 42 p. : graphs Bank of Canada staff working paper, 1701-9397 ; 2018-33 "July 2018." Includes bibliographical references. "Recent research suggests that quantitative easing (QE) may affect a broad range of asset prices through a portfolio balance channel. Using novel security-level holding data of individual US mutual funds, we establish evidence that portfolio rebalancing occurred both within and across funds. Contrary to conventional wisdom, portfolio rebalancing by fund managers into riskier assets is much smaller in magnitude than into other government bonds. We find that mutual funds replaced QE securities with other government bonds that have similar characteristics. Intriguingly, this shift occurred mainly into newly issued government bonds. Such within-fund portfolio rebalancing is material. For every $100 in QE bonds sold, mutual funds replenished their portfolios with about $50 to $60 of newly issued government bonds. Thus, QE played an important role in funding treasury debt issuance during this period. Meanwhile, the rebalancing into riskier assets, such as corporate bonds, did occur, but was mainly carried out by the end investors of the funds instead of the fund managers themselves"--Abstract, p. ii. Includes abstract in French. gccst Portfolio gccst Financial management gccst Assets Witmer, Jonathan, 1975- Yang, Jing, 1970- Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2018-33. (CaOODSP)9.806221 PDF 756 KB https://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-33-eng.pdf