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  1. International capital flows at the security level
    evidence from the ECB's Asset Purchase Programme
    Erschienen: [2020]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    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... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    DS 534
    keine Fernleihe

     

    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.

     

    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289940313
    Weitere Identifier:
    hdl: 10419/229002
    Schriftenreihe: Working paper series / European Central Bank ; no 2388 (April 2020)
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen