The European Central Bank's large-scale asset purchase program targeted safe assets, but also aimed to impact prices of risky assets. The mechanism for this is the “portfolio rebalancing channel”, where financial institutions’ portfolio decisions impact financial prices more broadly. We examine this mechanism using cross-sectional heterogeneity in how the financial portfolios of different sectors of the European economy were affected around the purchase program. We find evidence of rebalancing. In vulnerable countries, where macroeconomic unbalances and relatively high risk premia remained, we document rebalancing towards riskier securities. In less vulnerable countries, based on granular information for large European banks, we document rebalancing toward bank loans.

欧洲央行的大规模资产购买计划针对的是安全资产，但也旨在影响风险资产的价格。其机制是“投资组合再平衡渠道”，金融机构的投资组合决策更广泛地影响金融价格。我们使用横截面异质性来研究这种机制，以了解欧洲经济不同部门的金融投资组合如何围绕购买计划受到影响。我们找到了重新平衡的证据。在宏观经济不平衡和相对较高的风险溢价仍然存在的脆弱国家，我们记录了对风险较高证券的再平衡。在不太脆弱的国家，根据欧洲大型银行的详细信息，我们记录了银行贷款的再平衡。