International Capital Flows at the Security Level – Evidence from the ECB’s Asset Purchase Programme

Katharina Bergant, Michael Fidora and Martin Schmitz

No 2020/046, IMF Working Papers from International Monetary Fund

Abstract: We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level. Our empirical analysis shows that euro area investors (in particular investment funds and households) actively rebalanced away from securities targeted under the Public Sector Purchase Programme and other euro-denominated debt securities, towards foreign debt instruments, including `closest substitutes', 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.

Keywords: WP; euro; PSPP substitute; PSPP eligibility; debt securities; euro area; capital flow; investment funds; Securities; Mutual funds; Capital flows; Stocks; Unconventional monetary policies; Global; International investment patterns; sovereign debt; investor heterogeneity; quantitative easing; PSPP eligible; investors show; Euro area investor; security holding; euro-denominated securities; long-term debt; net purchase; portfolio shift; PSPP securities (search for similar items in EconPapers)
Pages: 46
Date: 2020-02-28
New Economics Papers: this item is included in nep-eec, nep-ifn and nep-mon
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Citations: View citations in EconPapers (15)

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Related works:
Working Paper: International capital flows at the security level: evidence from the ECB’s Asset Purchase Programme (2020)
Working Paper: International capital flows at the security level – evidence from the ECB’s asset purchase programme (2018)
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