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  1. Connected funds
    Autor*in: Fricke, Daniel; Wilke, Hannes
    Erschienen: September 15, 2020
    Verlag:  Verein für Socialpolitik, [Köln]

    Investment funds are highly connected with each other, but also with the broader financial system. In this paper, we quantify potential vulnerabilities arising from funds' connectedness. While previous work exclusively focused on indirect connections... mehr

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    Investment funds are highly connected with each other, but also with the broader financial system. In this paper, we quantify potential vulnerabilities arising from funds' connectedness. While previous work exclusively focused on indirect connections (overlapping asset portfolios) between investment funds, we develop a macroprudential stress test that also includes direct connections (cross-holdings of fund shares). In our application for German investment funds, we find that these direct connections are very important from a financial stability perspective. Our main result is that the German fund sector's aggregate vulnerability can be substantial and tends to increase over time, suggesting that the fund sector can amplify adverse developments in global security markets. We also highlight spillover risks to the broader financial system, since fund sector losses would be largely borne by fund investors from the financial sector. Overall, we make an important step towards a more financial-system-wide view on fund sector vulnerabilities.

     
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    Sprache: Englisch
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    Weitere Identifier:
    hdl: 10419/224511
    Schriftenreihe: Jahrestagung 2020 / Verein für Socialpolitik ; 18
    Schlagworte: asset management; investment funds; systemic risk; re sales; liquidityrisk; cross-holdings; spillover e ects
    Umfang: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  2. A multi-level network approach to spillovers analysis
    an application to the Maltese domestic investment funds sector
    Autor*in: Meglioli, Francesco; Gauci, Stephanie
    Erschienen: [2021]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    In this paper we present a new approach to analyse the interconnectedness between a macro-level network and a local-level network. Our methodology is developed on the Diebold and Yilmaz connectedness measure and it considers the presence of entities... mehr

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    In this paper we present a new approach to analyse the interconnectedness between a macro-level network and a local-level network. Our methodology is developed on the Diebold and Yilmaz connectedness measure and it considers the presence of entities within a global network which can influence other entities within their own local network but are not relevant enough to influence the entities which do not belong to the same local network. This methodology is then applied to the Maltese domestic investment funds sector and we find that a high-level correlation between the domestic funds can transmit higher spillovers to the local stock exchange index and to the government bond secondary market prices. Moreover, a high correlation among the Maltese domestic investment funds can increase their vulnerability to shocks stemming from financial indices, and therefore, investment funds may potentially become a shock transmission channel.

     
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    ISBN: 9789289946278
    Weitere Identifier:
    hdl: 10419/244276
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 124 (August 2021)
    Schlagworte: Network model; investment funds; interconnectedness; contagion; systemic risk; herding behaviour
    Umfang: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  3. Risks and vulnerabilities in the U.S. bond mutual fund industry
    Autor*in: Bouveret, Antoine; Yu, Jie
    Erschienen: April 2021
    Verlag:  International Monetary Fund, [Washington, D.C.]

    This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial... mehr

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Universitätsbibliothek Braunschweig
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    Universitätsbibliothek Erfurt / Forschungsbibliothek Gotha, Universitätsbibliothek Erfurt
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    Bibliothek der Pädagogischen Hochschule Freiburg/Breisgau
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    Duale Hochschule Baden-Württemberg Heidenheim, Bibliothek
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    Universitätsbibliothek Leipzig
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Duale Hochschule Baden-Württemberg Mosbach, Bibliothek
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    Hochschule Offenburg, University of Applied Sciences, Bibliothek Campus Offenburg
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    This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial stability. We develop a new measure to identify vulnerable categories based on expected outflows labelled 'Flows in Distress'. Overall, most U.S. mutual funds are resilient yet high yield (HY) and loan funds would face a liquidity shortfall when faced with severe redemption shocks. Combined sales from funds can have a sizeable price impact. Finally, our contagion analysis using data on fund flows and returns shows that Investment Grade (IG) corporate bonds funds, municipal bond funds and government bond funds are more likely to spread distress to other fund categories than HY, EM and loan funds. When the first type of funds experiences stress, other funds categories are likely to experience stress as well

     
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    Quelle: Staatsbibliothek zu Berlin
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    ISBN: 9781513582320
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    Schriftenreihe: IMF working paper ; WP/21, 109
    Schlagworte: Stress test; liquidity; investment funds; dependence; spillovers; systemic risk; Foreign Exchange; General Financial Markets; Informal Economy; Pension Funds; Underground Econom
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  4. When the panic broke out
    COVID-19 and investment funds' portfolio rebalancing around the world
    Autor*in: Affinito, Massimiliano; Santioni, Raffaele
    Erschienen: [2021]
    Verlag:  Banca d'Italia Eurosistema, [Rom]

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    Schriftenreihe: Temi di discussione / Banca d'Italia ; number 1342 (July 2021)
    Schlagworte: coronavirus; investment funds; Morningstar holdings; pandemic; portfolio rebalancing; resilience
    Umfang: 1 Online-Ressource (circa 65 Seiten), Illustrationen
  5. Investment funds, monetary policy, and the global financial cycle
    Autor*in: Kaufmann, Christoph
    Erschienen: February 14, 2020
    Verlag:  Verein für Socialpolitik, [Köln]

    This paper studies the role of international investment funds in the transmission of global financial conditions to the euro area using structural Bayesian vector auto regressions. While cross-border banking sector capital ows receded significantly... mehr

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    This paper studies the role of international investment funds in the transmission of global financial conditions to the euro area using structural Bayesian vector auto regressions. While cross-border banking sector capital ows receded significantly in the aftermath of the global financial crisis, portfolio ows of investors actively searching for yield on financial markets world-wide gained importance during the post-crisis "second phase of global liquidity" (Shin, 2013). The analysis presented in this paper shows that a loosening of US monetary policy leads to higher global investment fund in ows to euro area equities and debt. These in ows do not only imply elevated asset prices, but also coincide with increased debt and equity issuance in the euro area. The findings demonstrate the growing importance of non-bank financial intermediation over the last decade and have important policy implications for monetary and financial stability.

     
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    hdl: 10419/224573
    Schriftenreihe: Jahrestagung 2020 / Verein für Socialpolitik ; 62
    Schlagworte: Monetary policy; international spillovers; capital ows; investment funds
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  6. 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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    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.

     
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    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)
  7. Asset managers, market liquidity and bank regulation
    Autor*in: Aldasoro, Iñaki; Huang, Wenqian; Tarashev, Nikola A.
    Erschienen: 2021
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 933 (March 2021)
    Schlagworte: investment funds; herding; bank regulation; leverage ratio; social welfare
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  8. Market failures in market-based finance
    Autor*in: Di Iasio, Giovanni; Kryczka, Dominika
    Erschienen: [2021]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We build a three-period model to investigate market failures in the market-based financial system. Institutional investors (IIs), such as insurance companies and pension funds, have liabilities offering guaranteed returns and operate under a... mehr

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    We build a three-period model to investigate market failures in the market-based financial system. Institutional investors (IIs), such as insurance companies and pension funds, have liabilities offering guaranteed returns and operate under a risk-sensitive solvency constraint. They seek to allocate funds to asset managers (AMs) that provide diversification when investing in risky assets. At the interim date, AMs that run investment funds face investor redemptions and liquidate risky assets and/or deplete cash holdings, if available. Dealer banks can purchase risky assets, thus providing market liquidity. The latter ultimately determines equilibrium allocations. In the competitive equilibrium, AMs suffer from a pecuniary externality and hold inefficiently low amounts of cash. Asset fire sales increase the overall cost of meeting redemptions and depress risk-adjusted returns delivered by AMs to IIs, forcing the latter to de-risk. We show that a macroprudential approach to (i) the liquidity regulation of AMs and (ii) the solvency regulation of IIs can improve upon the competitive equilibrium allocations.

     
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    ISBN: 9789289945455
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    hdl: 10419/234099
    Schriftenreihe: Working paper series / European Central Bank ; no 2545 (May 2021)
    Schlagworte: Market-based finance; regulation; investment funds; insurance companies and pension funds; market liquidity
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  9. Are fund managers rewarded for taking cyclical risks?
    Autor*in: Ryan, Ellen
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    The investment fund sector has expanded dramatically since the crisis of 2008-2009. As the sector grows, so do the implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the... mehr

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    The investment fund sector has expanded dramatically since the crisis of 2008-2009. As the sector grows, so do the implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the existence of widespread risk-taking incentives in the investment fund sector, with a particular focus on incentives for synchronised, cyclical risk-taking which could have systemic effects. Incentives arise from the positive response of investors to returns achieved through cyclical risk-taking and non-linearities in the relationship between fund returns and fund flows, which may keep managers from fully internalising the effects of adverse outcomes on their portfolios. The fact that market discipline may not be sufficient to ensure prudential behaviour among managers, combined with the externalities of this risk-taking for the wider system, creates a clear case for macroprudential regulatory intervention.

     
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    ISBN: 9789289949859
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    hdl: 10419/261186
    Schriftenreihe: Working paper series / European Central Bank ; no 2652 (March 2022)
    Schlagworte: Financial stability; investment funds; incentive; risk-taking; macro prudential policy
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  10. Are fund managers rewarded for taking cyclical risks?
    Autor*in: Ryan, Ellen
    Erschienen: [2022]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    The investment fund sector has expanded dramatically since the crisis of 2008-2009. As the sector grows, so do the implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the... mehr

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    The investment fund sector has expanded dramatically since the crisis of 2008-2009. As the sector grows, so do the implications of its risk-taking for the wider financial system and real economy. This paper provides empirical evidence for the existence of wide- spread risk-taking incentives in the investment fund sector, with a particular focus on incentives for synchronised, cyclical risk-taking which could have systemic effects. Incentives arise from the positive response of investors to returns achieved through cyclical risk-taking and non-linearities in the relationship between fund returns and fund flows, which may keep managers from fully internalising the effects of adverse outcomes on their portfolios. The fact that market discipline may not be sufficient to ensure prudential behaviour among managers, combined with the externalities of this risk-taking for the wider system, creates a clear case for macroprudential regulatory intervention.

     
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    ISBN: 9789294722560
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    hdl: 10419/265235
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 134 (July 2022)
    Schlagworte: Financial stability; investment funds; incentive; risk-taking; macroprudential policy
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  11. The role of non-bank financial institutions in the intermediation of capital flows to emerging markets
    Autor*in: Moro, Alessandro; Schiavone, Alessandro
    Erschienen: [2022]
    Verlag:  Banca d'Italia Eurosistema, [Rom]

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    Schriftenreihe: Temi di discussione / Banca d'Italia ; number 1367 (April 2022)
    Schlagworte: financial intermediation; investment funds; emerging markets; capital flows; financial crisis
    Umfang: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  12. 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

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    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.

     
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    ISBN: 9789289953214
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    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
  13. Are ethical and green investment funds more resilient?
    Autor*in: Capotă, Laura-Dona; Giuzio, Margherita; Kapadia, Sujit; Salakhova, Dilyara
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Funds with an environmental, social and corporate governance (ESG) mandate have been growing rapidly in recent years and received inflows also during periods of market turmoil, such as March 2020, in contrast to their non-ESG peers. This paper... mehr

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    Funds with an environmental, social and corporate governance (ESG) mandate have been growing rapidly in recent years and received inflows also during periods of market turmoil, such as March 2020, in contrast to their non-ESG peers. This paper investigates whether investors in ESG funds react differently to past negative performance, making these funds less sensitive to short-term changes in returns. In the absence of an ESG-label, we define an ESG- or Environmentally-focused fund if its name contains relevant words. The results show that ESG/E equity and corporate bond funds exhibit a weaker flow-performance relationship compared to traditional funds in 2016-2020. This finding may reflect the longer-term investment horizon of ESG investors and their expectation of better risk-adjusted performance from ESG funds in the future. We also explore how the results vary across institutional and retail investors and how they depend on the liquidity of funds' assets and wider market conditions. A weaker flow-performance relationship allows funds to provide a stable source of financing to the green transition and may reduce risks for financial stability, particularly during turmoil episodes.

     
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    ISBN: 9789289953955
    Weitere Identifier:
    hdl: 10419/278222
    Schriftenreihe: Working paper series / European Central Bank ; no 2747 (November 2022)
    Schlagworte: investment funds; sustainable investments; green finance; climate risk
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  14. The growing importance of investment funds in capital flows
    Autor*in: Schmidt, Richard; Yeşin, Pınar
    Erschienen: [2022]
    Verlag:  Swiss National Bank, Zurich

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    Schriftenreihe: SNB working papers ; 2022, 13
    Schlagworte: investment funds; portfolio investment; fund flows; ESG funds; financial markets
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  15. Financial fragility in open-ended mutual funds
    the role of liquidity management tools
    Autor*in: Dunne, Peter G.; Emter, Lorenz; Fecht, Falko; Giuliana, Raffaele; Peia, Oana
    Erschienen: [2023]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    We study the role of liquidity management tools (LMTs) in mitigating financial fragility in investment funds during the COVID-19 market distress. We employ a unique dataset that reports the availability of different types of LMTs in a sample of... mehr

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    We study the role of liquidity management tools (LMTs) in mitigating financial fragility in investment funds during the COVID-19 market distress. We employ a unique dataset that reports the availability of different types of LMTs in a sample of Irish-domiciled corporate bond funds. We find that funds with access to price-based tools such as redemption fees or anti-dilution levies experienced lower net outflows in March 2020, as compared to funds with only quantity-based tools such as redemption gates, temporary suspensions or redemption in kind. This difference is stronger among funds with a high sensitivity of flows to past-performance and reflects both higher gross in- flows and lower gross outflows during this episode. Funds with price-based LMTs also rebalance their portfolios towards less liquid bonds, which results in lower price fragility among bonds held disproportionally by our sample of Irish-domiciled funds.

     
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    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 140 (March 2023)
    Schlagworte: liquidity management tools; investment funds; COVID-19; financial fragility
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  16. Non-banks contagion and the uneven mitigation of climate risk
    Autor*in: Gourdel, Régis; Sydow, Matthias
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This paper develops a framework for the short-term modelling of market risk and shock propagation in the investment funds sector, including bi-layer contagion effects through funds' cross-holdings and overlapping exposures. Our work tackles in... mehr

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    This paper develops a framework for the short-term modelling of market risk and shock propagation in the investment funds sector, including bi-layer contagion effects through funds' cross-holdings and overlapping exposures. Our work tackles in particular climate risk, with a first-of-its-kind dual view of transition and physical climate risk exposures at the fund level. So far, while fund managers communicate more aggressively on their awareness of climate risk, it is still poorly assessed. Our analysis shows that the topology of the fund network matters and that both contagion channels are important in its study. A stress test on the basis of granular short-term transition shocks suggests that the differentiated integration of sustainability information by funds has made network amplification less likely, although first-round losses can be material. On the other hand, there is room for fund managers and regulators to consider physical risk better and mitigate the second round effects it induces, as they are less efficiently absorbed by investment funds. Improving transparency and setting relevant industry standards in this context would help mitigate short-term financial stability risks.

     
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    Schriftenreihe: Working paper series / European Central Bank ; no 2757 (December 2022)
    Schlagworte: climate finance; investment funds; systemic risk; stress testing
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  17. The growing importance of investment funds in capital flows
    Autor*in: Schmidt, Richard; Yeşin, Pınar
    Erschienen: November 2022
    Verlag:  University of Zurich, Department of Economics, Zurich

    In this paper, we first document the growing importance of foreign-domiciled investment funds in countries' portfolio liabilities over time and then show empirical evidence that cross-border fund flows are coincident with asset price movements. To... mehr

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    In this paper, we first document the growing importance of foreign-domiciled investment funds in countries' portfolio liabilities over time and then show empirical evidence that cross-border fund flows are coincident with asset price movements. To measure the external liabilities of countries to foreign-domiciled funds, we complement conventional balance of payments and international investment position data with granular and real-time fund flows data. We find that the external exposure of countries to investment funds has been steadily increasing both for advanced and emerging market economies. Furthermore, we find that this increased external exposure is coincident with higher exchange rate fluctuations, lower bond yields and higher stock returns. Because sustainability-themed investment funds are growing faster than conventional investment funds, we also focus on Environmental, Social and Governance (ESG) funds and construct an index of sustainable finance that can distinguish between its domestic and cross-border components. Our index reveals that ESG funds domiciled in European countries tend to invest predominantly in domestic markets, whereas ESG investment in emerging market economies to a large extent originates from foreign-domiciled investment funds.

     
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    Schriftenreihe: Working paper series / University of Zurich, Department of Economics ; no. 421
    Schlagworte: investment funds; portfolio investment; fund flows; ESG funds; financial markets
    Umfang: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  18. Risks and vulnerabilities in the U.S. bond mutual fund industry
    Autor*in: Bouveret, Antoine; Yu, Jie
    Erschienen: April 2021
    Verlag:  International Monetary Fund, [Washington, D.C.]

    This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial... mehr

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    This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial stability. We develop a new measure to identify vulnerable categories based on expected outflows labelled 'Flows in Distress'. Overall, most U.S. mutual funds are resilient yet high yield (HY) and loan funds would face a liquidity shortfall when faced with severe redemption shocks. Combined sales from funds can have a sizeable price impact. Finally, our contagion analysis using data on fund flows and returns shows that Investment Grade (IG) corporate bonds funds, municipal bond funds and government bond funds are more likely to spread distress to other fund categories than HY, EM and loan funds. When the first type of funds experiences stress, other funds categories are likely to experience stress as well

     
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    Schriftenreihe: IMF working paper ; WP/21, 109
    Schlagworte: Stress test; liquidity; investment funds; dependence; spillovers; systemic risk; Foreign Exchange; General Financial Markets; Informal Economy; Pension Funds; Underground Econom
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  19. Navigating strong currents
    Erschienen: January 2011
    Verlag:  The World Bank, Washington, DC

    Economic activity in most developing countries has, or is close to having, recovered. Supported by resurgence in international and domestic financial flows and higher commodity prices, most of the spare capacity in developing countries that was... mehr

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    Economic activity in most developing countries has, or is close to having, recovered. Supported by resurgence in international and domestic financial flows and higher commodity prices, most of the spare capacity in developing countries that was created by the crisis has been reabsorbed, and developing countries have regained trend growth rates close to those observed in the pre-crisis period. The remainder of this report is organized as follows. The next section discusses recent developments in global production, trade, and financial markets, and presents updates of the World Bank's forecast for the global economy and developing countries. The global economy is transitioning from the bounce-back phase of the recovery toward a period of slower but more sustainable growth. Growth in most developing countries is increasingly running into capacity constraints, while in high-income and developing Europe and Central Asia growth is hampered by the concentrated nature of slack and ongoing restructuring. In this environment, policy needs to be moving away from short-term demand stimulus toward measures that generate additional employment by enhancing the supply potential of economies. The global policy environment has become highly charged and uncertain, and presents multiple risks to prospects for developing countries. As emphasized at the recent G-20 meetings in Seoul (G-20 2010), both developing and high-income countries will need to take care to minimize the negative external consequences of their domestic policy actions. Concretely, this means that while countries must remain mindful of domestic conditions, when opportunities present themselves to pursue domestic policy objectives in a manner that support adjustment elsewhere in the global economy these should be taken up.

     
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    hdl: 10986/12102
    Schriftenreihe: Global economic prospects ; volume 2 (January 2011)
    Schlagworte: Wirtschaftslage; Welt; Global Economic Prospects; asset price; auction; Bank Bond; Bank Equity; bank lending; bank loan; banking assets; banking sector; banking sectors; banking system; basis points; Bond; bond flows; bond issuance; Bond Portfolio; bond yield; bonds; capacity constraints; capital control; capital controls; capital flows; capital formation; capital gains; capital inflow; Capital inflows; capital markets; capital outflows; capital shortages; CDS; Central Bank; commodities; commodity; commodity prices; consumer debt; consumer demand; consumer goods; contingent liabilities; Copyright Clearance; Copyright Clearance Center; corporate bonds; credit default; credit default swap; credit default swaps; credit rating; creditors; Current account balance; current account balances; current account deficit; current account deficits; current account surpluses; debt flows; debt relief; deposits; developing countries; Developing country; developing economies; dividends; dollar value; domestic credit; domestic economy; durable; durable goods; economic developments; economic performance; emerging markets; equipment; equities; equity flows; equity issues; equity market; equity markets; exchange rate; exchange rate movements; exchange rates; exporters; exposure; financial crisis; financial flows; financial inflows; financial institutions; financial integration; financial market; financial markets; financial sector; financial sector policies; Financial Stability; financial support; fiscal consolidation; fiscal consolidations; fiscal deficits; fiscal policy; Fixed investment; flows of capital; Food price; food prices; foreign banks; foreign capital; Foreign direct investment; foreign exchange; foreign exchange market; foreign holdings; foreign investors; fund managers; future growth; futures; global economy; global exports; global financial markets; global investors; global pension; global trade; government finances; government spending; growth rate; growth rates; hedge funds; holdings; host country; import costs; income; incomes; indebtedness; inflation; inflationary pressure; inflationary pressures; infrastructure investment; institutional development; Institutional investor; interest income; interest rate; interest rate differentials; interest rates; International Bank; international bond; International capital; International capital flows; international financial markets; International settlements; investment climate; investment flows; investment funds; investment projects; investment rates; investment spending; investment vehicles; labor market; liquidity; local currency; local economy; local market; long-term interest; loss of confidence; Low-income countries; macroeconomic management; macroeconomic policy; market developments; market expectations; market index; market makers; market participants; market price; market prices; market valuations; market volatility; maturity; middle-income countries; monetary policy; money market; money supply; monopoly; Net debt; oil price; oil prices; output; output gap; output gaps; pension; pension funds; pension systems; political stability; Portfolio; portfolio investment; portfolios; power parity; price volatility; private capital; private capital flows; Private creditors; private savings; public finances; purchasing power; rapid expansion; regulatory requirements; remittance; remittances; repayments; reserve; reserve requirements; reserves; savings; savings rates; securities; short-term assets; short-term debt; sovereign debt; sovereign debt markets; speculative bubble; supply shocks; tax; tax rate; tax rates; Technological change; trading; transaction costs; transition countries; transition economies; Treasuries; Unemployment rates; volatility; withdrawal; world economy; world trade; yield spreads
    Umfang: 1 Online-Ressource (circa 129 Seiten), Illustrationen
  20. Simulating stress across the financial system
    the resilience of corporate bond markets and the role of investment funds
    Autor*in: Baranova, Yuliya; Coen, Jamie; Lowe, Pippa; Noss, Joseph; Silvestri, Laura
    Erschienen: 2017
    Verlag:  Bank of England, London

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    Schriftenreihe: Financial stability paper ; no. 42 (July 2017)
    Schlagworte: stress simulation; corporate bonds; investment funds; dealers; market liquidity; systemic stress; amplification
    Umfang: 1 Online-Ressource (27 Seiten), Illustrationen
  21. Navigating strong currents
    Erschienen: January 2011
    Verlag:  The World Bank, Washington, DC

    Economic activity in most developing countries has, or is close to having, recovered. Supported by resurgence in international and domestic financial flows and higher commodity prices, most of the spare capacity in developing countries that was... mehr

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    Economic activity in most developing countries has, or is close to having, recovered. Supported by resurgence in international and domestic financial flows and higher commodity prices, most of the spare capacity in developing countries that was created by the crisis has been reabsorbed, and developing countries have regained trend growth rates close to those observed in the pre-crisis period. The remainder of this report is organized as follows. The next section discusses recent developments in global production, trade, and financial markets, and presents updates of the World Bank's forecast for the global economy and developing countries. The global economy is transitioning from the bounce-back phase of the recovery toward a period of slower but more sustainable growth. Growth in most developing countries is increasingly running into capacity constraints, while in high-income and developing Europe and Central Asia growth is hampered by the concentrated nature of slack and ongoing restructuring. In this environment, policy needs to be moving away from short-term demand stimulus toward measures that generate additional employment by enhancing the supply potential of economies. The global policy environment has become highly charged and uncertain, and presents multiple risks to prospects for developing countries. As emphasized at the recent G-20 meetings in Seoul (G-20 2010), both developing and high-income countries will need to take care to minimize the negative external consequences of their domestic policy actions. Concretely, this means that while countries must remain mindful of domestic conditions, when opportunities present themselves to pursue domestic policy objectives in a manner that support adjustment elsewhere in the global economy these should be taken up.

     
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    Schriftenreihe: Global economic prospects ; volume 2 (January 2011)
    Schlagworte: Wirtschaftslage; Welt; Global Economic Prospects; asset price; auction; Bank Bond; Bank Equity; bank lending; bank loan; banking assets; banking sector; banking sectors; banking system; basis points; Bond; bond flows; bond issuance; Bond Portfolio; bond yield; bonds; capacity constraints; capital control; capital controls; capital flows; capital formation; capital gains; capital inflow; Capital inflows; capital markets; capital outflows; capital shortages; CDS; Central Bank; commodities; commodity; commodity prices; consumer debt; consumer demand; consumer goods; contingent liabilities; Copyright Clearance; Copyright Clearance Center; corporate bonds; credit default; credit default swap; credit default swaps; credit rating; creditors; Current account balance; current account balances; current account deficit; current account deficits; current account surpluses; debt flows; debt relief; deposits; developing countries; Developing country; developing economies; dividends; dollar value; domestic credit; domestic economy; durable; durable goods; economic developments; economic performance; emerging markets; equipment; equities; equity flows; equity issues; equity market; equity markets; exchange rate; exchange rate movements; exchange rates; exporters; exposure; financial crisis; financial flows; financial inflows; financial institutions; financial integration; financial market; financial markets; financial sector; financial sector policies; Financial Stability; financial support; fiscal consolidation; fiscal consolidations; fiscal deficits; fiscal policy; Fixed investment; flows of capital; Food price; food prices; foreign banks; foreign capital; Foreign direct investment; foreign exchange; foreign exchange market; foreign holdings; foreign investors; fund managers; future growth; futures; global economy; global exports; global financial markets; global investors; global pension; global trade; government finances; government spending; growth rate; growth rates; hedge funds; holdings; host country; import costs; income; incomes; indebtedness; inflation; inflationary pressure; inflationary pressures; infrastructure investment; institutional development; Institutional investor; interest income; interest rate; interest rate differentials; interest rates; International Bank; international bond; International capital; International capital flows; international financial markets; International settlements; investment climate; investment flows; investment funds; investment projects; investment rates; investment spending; investment vehicles; labor market; liquidity; local currency; local economy; local market; long-term interest; loss of confidence; Low-income countries; macroeconomic management; macroeconomic policy; market developments; market expectations; market index; market makers; market participants; market price; market prices; market valuations; market volatility; maturity; middle-income countries; monetary policy; money market; money supply; monopoly; Net debt; oil price; oil prices; output; output gap; output gaps; pension; pension funds; pension systems; political stability; Portfolio; portfolio investment; portfolios; power parity; price volatility; private capital; private capital flows; Private creditors; private savings; public finances; purchasing power; rapid expansion; regulatory requirements; remittance; remittances; repayments; reserve; reserve requirements; reserves; savings; savings rates; securities; short-term assets; short-term debt; sovereign debt; sovereign debt markets; speculative bubble; supply shocks; tax; tax rate; tax rates; Technological change; trading; transaction costs; transition countries; transition economies; Treasuries; Unemployment rates; volatility; withdrawal; world economy; world trade; yield spreads
    Umfang: 1 Online-Ressource (circa 129 Seiten), Illustrationen
  22. Is home bias biased?
    new evidence from the investment fund sector
    Autor*in: Lambert, Claudia; Molestina Vivar, Luis; Wedow, Michael
    Erschienen: [2024]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Investment funds hold a disproportionately larger fraction of domestic relative to foreign stocks. Stock market development and familiarity (language and distance) are considered key determinants for home bias. The literature neglects however that... mehr

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    Investment funds hold a disproportionately larger fraction of domestic relative to foreign stocks. Stock market development and familiarity (language and distance) are considered key determinants for home bias. The literature neglects however that investors often invest in foreign funds domiciled in financial centers. We use a "look-through approach" to account for this misclassification. First, we find substantially smaller home bias estimates compared to those in the literature. Second, the explanatory power of plausible home bias determinants is lower than previously documented. Third, familiarity only plays a meaningful role when investors are households, highlighting the role of investor sophistication.

     
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    Schriftenreihe: Working paper series / European Central Bank ; no 2924
    Schlagworte: investment funds; cross-border portfolio; home bias; financial centers
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  23. Systemic financial sector and sovereign risks
    Autor*in: Jin, Xisong; Nadal-De Simone, Francisco
    Erschienen: June 2017
    Verlag:  Banque centrale du Luxembourg, Luxembourg

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    Schriftenreihe: Working paper / Banque centrale du Luxembourg ; no 109
    Schlagworte: financial stability; sovereign risk; macro-prudential policy; banking sector; investment funds; default probability; non-linearities; generalized dynamic factor model; dynamic copulas
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  24. Investment funds' vulnerabilities
    a tail-risk dynamic CIMDO approach
    Autor*in: Jin, Xisong; Nadal-De Simone, Francisco
    Erschienen: July 2015
    Verlag:  Banque centrale du Luxembourg, Luxembourg

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    Schriftenreihe: Working paper / Banque centrale du Luxembourg ; no 95
    Schlagworte: financial stability; investment funds; procyclicality; macro-prudential policy; structural credit risk models; probability of distress; non-linearities; generalized dynamic factor model; dynamic copulas
    Umfang: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  25. Tracking changes in the intensity of financial sector's systemic risk
    Autor*in: Jin, Xisong; Nadal-De Simone, Francisco
    Erschienen: Octobre 2016
    Verlag:  Banque centrale du Luxembourg, Luxembourg

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    Schriftenreihe: Working paper / Banque centrale du Luxembourg ; no 102
    Schlagworte: financial stability; macro-prudential policy; banking sector; investment funds; default probability; non-linearities; generalized dynamic factor model; dynamic copulas
    Umfang: 1 Online-Ressource (circa 58 Seiten), Illustrationen