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.

本研究利用欧元区保密企业债券持有数据，对对冲及未对冲状态下欧元计价债券与美元计价债券的收益率差异展开估算。与传统认知相悖的是，研究发现欧元计价债券收益率相较美元计价债券显著下行，且该效应在两类证券中更为突出：一类是纳入偏好欧元资产的投资者投资组合的证券，另一类是符合欧洲央行（ECB）资产购买计划资质的证券。随后，本研究在总体与企业两个层面开展实证检验，发现估算得到的收益率差异与债券购买量呈负相关关系，且该相关性在长期证券以及偏好欧元计价的投资者所持有的证券中表现更强。实证结果支持本地供给与久期提取传导机制，而非纯粹的需求传导机制。