Domestic and external sectoral portfolios: Network structure and balance-sheet contagion

Arbeitspapier

This paper uses a unique comprehensive database on French security assets and liabilities to study the dynamics of domestic and external sectoral portfolios, their network structure, and their role in the propagation of shocks. We first show how the sharp deterioration of the net external portfolio position of France between 2008 and 2014 was driven by sectoral patterns such as the banking sector retrenchment and the increase in foreign liabilities of the public and corporate sectors, but was mitigated by the expansion of domestic and foreign asset portfolios of insurance companies. We also provide a network representation of the links between domestic sectors and the rest of the world, and document their evolution between 2008 and 2014. Second, we put forward and estimate a model of balance-sheet contagion through inter-sectoral security linkages. The estimation of the model shows that the financial sectors of the economy (banking, mutual fund, and insurance sector) are affected by balance-sheet contagion.

Object Details

• ISBN: 978-92-899-3320-9
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 2215

Classification and Topics

• Classification: Wirtschaft ; International Finance: General ; Portfolio Choice; Investment Decisions ; Financial Institutions and Services: General
• Subject: Sectoral Inter-Linkages ; Portfolio Investments ; Asset Demand and Supply

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Heipertz, Jonas ; Rancière, Romain ; Valla, Natacha
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2018

Further information

• DOI: doi:10.2866/166237
• Handle: http://hdl.handle.net/10419/208249
• Last update: 10.03.2025, 11:44 AM CET