How does the Eurozone crisis affect securities portfolios?

Thomas Kick, Enrico Onali, Benedikt Ruprecht and Klaus Schaeck

No 16-022, Working Papers CEB from ULB -- Universite Libre de Bruxelles

Abstract: We investigate if the Eurozone crisis affects the composition of security portfolios of households and non-financial firms. Using a unique dataset for all securities holdings by German investors, we exploit plausibly exogenous variation in the exposure to securities issued by stressed Eurozone economies in Greece, Ireland, Italy, Portugal, and Spain, to offer the first comparison of how these two types of investors respond to the European sovereign debt crisis. Difference-in-differences tests show that households, unlike non-financial firms, rebalance their portfoliosby moving from bonds to stocks and from securities issued by financial institutions to securities issued by non-financials.

Keywords: asset allocation; sovereign debt crisis; household finance; Eurozone; quasi-natural experiment (search for similar items in EconPapers)
JEL-codes: D12 D13 G11 G21 (search for similar items in EconPapers)
Pages: 67 p.
Date: 2016-05-17
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