Portfolio Holdings In The Euro Area PDF Download
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| Release | : 2021 |
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| ISBN | : 9789289945264 |
Download Shifts in the Portfolio Holdings of Euro Area Investors in the Midst of COVID-19 Book in PDF, ePub and Kindle
We study the impact of the COVID-19 shock on the portfolio exposures of euro area investors. The analysis "looks-through" holdings of investment fund shares to first gauge euro area investors' full exposures to global debt securities and listed shares by sector at end-2019 and to subsequently analyse the portfolio shifts in the first and second quarters of 2020. We show important heterogeneous patterns across asset classes and sectors, but also across euro area less and more vulnerable countries. In particular, we find a broad-based rebalancing towards domestic sovereign debt at the expense of extra-euro area sovereigns, consistent with heightened home bias. These patterns were strongly driven by indirect holdings - via investment funds - especially for insurance companies and pension funds, but levelled off in the second quarter. On the contrary, for listed shares we find that euro area investors rebalanced away from domestic towards extra-euro area securities in both the first and the second quarter, which may be associated with better relative foreign stock market performance. Many of these shifts were only due to indirect holdings, corroborating the importance of investment funds in assessing investors' exposures via securities, in particular in times of large shocks. We also confirm the important intermediation role played by investment funds in an analysis focusing on the large-scale portfolio rebalancing observed between 2015 and 2017 during the ECB's Asset Purchase Programme.
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| Total Pages | : 36 |
| Release | : 2018 |
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| ISBN | : 9789289933575 |
Download Disentangling Euro Area Portfolios Book in PDF, ePub and Kindle
This paper presents a detailed set of new, quantity-based indicators of financial integration in the euro area. The indicators are based on granular data from securities holdings statistics and help us disentangle the main drivers of the portfolio changes observed since the financial crisis. Three key developments since the crisis stand out. First, we find that financial integration in equity is less than that in the debt market, although the equity market was the main contributor to the partial recovery in financial integration observed since mid-2012. Second, we observe a gradual shift in cross-border investment activity from the banking sector towards other non-bank financial entities. In particular, our results show that euro area banks significantly decreased their investment in debt securities issued by banks in other euro area countries and that this decrease explains around 55% of the decline in financial integration in the debt market observed since the crisis. Finally, we find that the sharp decrease in financial integration between 2009 and 2012 was mainly driven by foreign investor flight from government debt securities, a trend that has since reversed.
| Author | : Axel Jochem |
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| Total Pages | : 44 |
| Release | : 2016 |
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Download Portfolio Holdings in the Euro Area - Home Bias and the Role of International, Domestic and Sector-Specific Factors Book in PDF, ePub and Kindle
This paper aims to identify the determinants of portfolio restructuring in EMU member states since the introduction of the euro and especially during the financial turbulence of the past years. We find that, besides exchange rate volatility and traditional indicators of information and transaction costs, the perception of sovereign risk has become more important as a determinant of portfolio allocation. The shares of financial corporations have been affected disproportionately by this development. At the same time, banks substantially reduced their international investment, possibly the result of a deleveraging process.
| Author | : Katharina Bergant |
| Publisher | : International Monetary Fund |
| Total Pages | : 46 |
| Release | : 2020-02-28 |
| Genre | : Business & Economics |
| ISBN | : 1513529234 |
Download International Capital Flows at the Security Level – Evidence from the ECB’s Asset Purchase Programme Book in PDF, ePub and Kindle
We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level. Our empirical analysis shows that euro area investors (in particular investment funds and households) actively rebalanced away from securities targeted under the Public Sector Purchase Programme and other euro-denominated debt securities, towards foreign debt instruments, including `closest substitutes', i.e. certain sovereign debt securities issued by non-euro area advanced countries. This rebalancing was particularly strong during the first six quarters of the programme. Our analysis also reveals marked differences across sectors as well as country groups within the euro area, suggesting that quantitative easing has induced heterogeneous portfolio shifts.
| Author | : Philip R. Lane |
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| Total Pages | : 30 |
| Release | : 2007 |
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Download The International Equity Holdings of Euro Area Investors Book in PDF, ePub and Kindle
We provide a systematic analysis of bilateral, source and host factors driving portfolio equity investment by euro-area countries, using newly-released data on international equity holdings at the end of 2001. We find that bilateral equity holdings are strongly linked to bilateral trade in goods and services and are also associated with proxies for informational proximity. We further document that there exists a significant quot;euro-area bias,quot; with euro-area countries investing in other euro-area countries over and above the amount predicted by underlying fundamentals.
| Author | : European Central Bank |
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| Total Pages | : 376 |
| Release | : 2002 |
| Genre | : Aktiemarkeder |
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Download Report on Financial Structures Book in PDF, ePub and Kindle
| Author | : International Monetary Fund. European Dept. |
| Publisher | : International Monetary Fund |
| Total Pages | : 18 |
| Release | : 2023-07-19 |
| Genre | : Business & Economics |
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Download Euro Area Policies Book in PDF, ePub and Kindle
Euro Area Policies: Selected Issues
| Author | : Ralph S. J. Koijen |
| Publisher | : |
| Total Pages | : 45 |
| Release | : 2019 |
| Genre | : Inflation targeting |
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Download Inspecting the Mechanism of Quantitative Easing in the Euro Area Book in PDF, ePub and Kindle
Using new data on security-level portfolio holdings by investor type and across countries in the euro area, we study portfolio rebalancing during the European Central Bank's (ECB) purchase programme that started in March 2015. To quantify changes in risk concentration, we estimate the evolution of the distribution of duration, government, and corporate credit risk exposures across investor sectors and regions until the last quarter of 2017. Using these micro data, we show that 60% of ECB purchases are sold by non-euro area investors, and we do not find evidence that risks get concentrated in certain sectors or geographies. We estimate a sector-level asset demand system using instrumental variables to connect the dynamics of portfolio rebalancing to asset prices. Our estimates imply that government yields declined by 47bp, on average, but the estimates range from -28bp to -57bp across countries.
| Author | : Daniel Carvalho |
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| Total Pages | : 0 |
| Release | : 2022 |
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| ISBN | : 9789289953214 |
Download Brexit, what Brexit? Book in PDF, ePub and Kindle
We study euro area investors' portfolio adjustment since the Brexit referendum in terms of securities issued in the UK or denominated in pound sterling, in the context of heightened policy uncertainty surrounding the exit process of the UK from the EU. Our sector-level analysis "looks-through" holdings of investment fund shares to gauge euro area sectors' full exposures to debt securities and listed shares. Our key finding is the absence of a negative "Brexit-effect" for euro area investors, which would have rendered UK-issued and pound-denominated securities generally less attractive. Instead, we observe that euro area investors increased their absolute and relative exposures to UK-issued and pound-denominated debt securities since the Brexit referendum. The analysis also reveals an increase in the euro area's exposure to listed shares issued by UK non-financial corporations, while the exposures to shares issued by UK banks declined. These findings should be seen against the backdrop of low yields on euro area debt securities and a strong recovery in UK share prices since the Brexit referendum, which appear to have largely outweighed the uncertainties associated with Brexit.
| Author | : John C. Dawson |
| Publisher | : M.E. Sharpe |
| Total Pages | : 778 |
| Release | : 1996-06-27 |
| Genre | : Business & Economics |
| ISBN | : 9780765634498 |
Download Flow-of-Funds Analysis Book in PDF, ePub and Kindle
This is a collection of articles on the flow of funds that attempts to serve as a reference guide to economists in academia, business, finance and government. Flow of funds analysis is widely used in analysis of financial institutions and markets. In fact, they were largely constructed by the Federal Reserve and other central banks and were the foundations for defining and measuring the various concepts of the monetary aggragates used as key targets by central banks in carrying out monetary policy. The book brings together the scattered articles on the subject and should be useful as a research guide and teaching source.
