Arbeitspapier
International capital flows at the security level: Evidence from the ECB's Asset Purchase Programme
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.
- ISBN
-
978-92-899-4031-3
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2388
- Klassifikation
-
Wirtschaft
International Investment; Long-term Capital Movements
International Policy Coordination and Transmission
Monetary Policy
International Financial Markets
- Thema
-
International investment patterns
capital ows
sovereign debt
investor het-erogeneity
quantitative easing
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bergant, Katharina
Fidora, Michael
Schmitz, Martin
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2020
- DOI
-
doi:10.2866/07634
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bergant, Katharina
- Fidora, Michael
- Schmitz, Martin
- European Central Bank (ECB)
Entstanden
- 2020
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