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We estimate euro-dollar yields differences, hedged and unhedged, with
euro area confidential corporate bond holdings data. 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
aggregate 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.
