We study the impact of the ECB's large scale asset purchase programme on selected euro area and neighbouring countries. The effects of the programme are assessed by conducting an event study as well as by estimating a structural VAR model using a shadow short rate as a measure of the monetary...

The portfolio rebalancing of Danish pension companies following the introduction of the ECB's asset purchase programmes is studied using a new and unique data set of their financial transactions and holdings since 2015. Due to a long-standing fixed exchange rate regime, Danish pension companies...

This paper analyses price formation in medium- to longer-term maturity segments of euro area and US inflation-linked and nominal bond markets around the releases of important economic indicators.We compare the pre-crisis and crisis periods, controlling for liquidity effects observed in financial...

This Memo investigates the bond portfolio reaction of key Danish institutional investors to duration jumps in callable mortgage bonds. It shows that the investors remain net buyers of Danish mortgage bonds during periods of jumps. In particular, they buy more than they do on average, supporting...