International capital flows at the security level: Evidence from the ECB's Asset Purchase Programme

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We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Pro- gramme at the security level. Based on net transactions of domestic and foreign securities, we observe euro area sectors' capital ows into individual securities, cleaned from valuation effects. Our empirical analysis { which accounts for security-level characteristics { shows that euro area investors (in particular investment funds and households) actively rebal- anced away from securities targeted under the Public Sector Purchase Programme and other euro-denominated debt securities, towards foreign debt instruments, including 'closest sub- stitutes', 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.

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• ISBN: 978-92-899-4031-3
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 2388

Classification and Topics

• Classification: Wirtschaft ; International Investment; Long-term Capital Movements ; International Policy Coordination and Transmission ; Monetary Policy ; International Financial Markets
• Subject: International investment patterns ; capital ows ; sovereign debt ; investor het-erogeneity ; quantitative easing

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bergant, Katharina ; Fidora, Michael ; Schmitz, Martin
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2020

Further information

• DOI: doi:10.2866/07634
• Handle: http://hdl.handle.net/10419/229002