The Euro Area Bond Free Float and the Implications for QE
构建了债券自由流通量指标，研究政府债券久期风险冲击对欧元区利率和宏观经济的影响，发现欧央行资产购买计划在2015年使10年期债券收益率下降约30个基点，2016年对产出缺口和通胀的正面影响分别约为0.2和0.3个百分点。
Abstract This paper examines how shocks to government bond duration risk held by price‐sensitive investors affect the euro area term structure of interest rates and the wider macroeconomy. We construct a new measure of the bond “free float,” which adjusts total debt for foreign official holdings and weights by residual maturity. Using a small macrofinance Bayesian Vector Autoregression (VAR) model, we estimate that the first round of asset purchases under the European Central Bank's (ECB) public sector purchase program reduced euro area 10‐year bond yields by around 30 bps in 2015. The positive impact on the output gap and inflation in 2016 was about 0.2 and 0.3 ppt, respectively.