GARCIA Rene

The three chapters of this thesis aim to contribute to a better understanding of how unconventional policies affect asset prices. They also empirically revisit the question of the impact of supply on asset prices, and more generally the limits imposed on arbitrage, the frictions in portfolio reallocation. Each chapter presents new data to quantify the mechanisms at work in the case of the Eurosystem's asset purchase program (APP). Chapter 1 proposes a simple portfolio model to think about unconventional measures in a coherent framework. Empirical exercises confirm the existence of several price transmission channels and assess the impact of the APP. Chapter 2 sheds new light on the portfolio rebalancing channel. The high frictions associated with reallocation, the high demand for "preferred habitat" and the low level of substitutability between assets allow for price impact, while possibly limiting spillovers to the economy. Chapter 3 suggests that the effet of securities purchases also if not primarily involves increasing the cost of borrowing these securities, which has implications for the dispersion of short-term money market rates and could make it difficult in the future to transmit conventional monetary policy if rates once considered risk-free and controllable by the central bank could not be controlled as precisely as before.