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  1. Shifts in the portfolio holdings of euro area investors in the midst of COVID-19
    looking-through investment funds
    Autor*in: Carvalho, Daniel; Schmitz, Martin
    Erschienen: [2021]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    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... mehr

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    Resolving-System (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

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

     

    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.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289945264
    Weitere Identifier:
    hdl: 10419/234080
    Schriftenreihe: Working paper series / European Central Bank ; no 2526 (February 2021)
    Schlagworte: Coronavirus; Portfolio-Management; Institutioneller Investor; Investmentfonds; Eurozone; Bilateral portfolio holdings; investment funds; cross-border investment; sovereign debt; COVID-19
    Umfang: 1 Online-Ressource (circa 38 Seiten)
  2. Brexit, what Brexit?
    Euro area portfolio exposures to the United Kingdom since the Brexit referendum
    Autor*in: Carvalho, Daniel; Schmitz, Martin
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    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... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

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

     

    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.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289953214
    Weitere Identifier:
    hdl: 10419/269141
    Schriftenreihe: Working paper series / European Central Bank ; no 2734 (September 2022)
    Schlagworte: Bilateral portfolio holdings; investment funds; cross-border investment; sovereign debt
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen