Data and Codes for: Market Segmentation and International Bond Prices: the Role of ECB Asset Purchases

We estimate the differences in yields for euro and dollar denominated bonds, hedged and unhedged, with euro area confidential corporate bond holdings data. Contrary to conventional wisdom, we find that euro yields significantly decline relative to dollar, more so for securities in the portfolio of investors that prefer euro-securities and securities eligible for the ECB asset purchase programs. We then test and uncover a negative relation between the estimated yields differentials and the purchases, at aggre- gate and firm level, stronger for long-term securities and those held by investors with euro denomination preference. Evidence supports a local supply and a duration extraction channel instead of a pure demand channel.