EconPapers    
Economics at your fingertips  
 

Domestic and external sectoral portfolios: Network structure and balance-sheet contagion

Jonas Heipertz, Romain Ranciere () and Natacha Valla

Journal of International Money and Finance, 2019, vol. 94, issue C, 206-226

Abstract: This paper uses a unique comprehensive database on French security assets and liabilities to study the dynamics of domestic and external sectoral portfolios, their network structure, and their role in the propagation of shocks. We first show how the sharp deterioration of the net external portfolio position of France between 2008 and 2014 was driven by sectoral patterns such as the banking sector retrenchment and the increase in foreign liabilities of the public and corporate sectors, but was mitigated by the expansion of domestic and foreign asset portfolios of insurance companies. We also provide a network representation of the links between domestic sectors and the rest of the world, and document their evolution between 2008 and 2014. Second, we put forward and estimate a model of balance-sheet contagion through inter-sectoral security linkages. The estimation of the model through GMM shows that the financial sectors of the economy (banking, mutual fund, and insurance sector) are affected by balance-sheet contagion.

Keywords: Networks; Balance-sheet contagion; Portfolio investments; Asset demand and supply (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560619300798
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Domestic and external sectoral portfolios: network structure and balance-sheet contagion (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:94:y:2019:i:c:p:206-226

DOI: 10.1016/j.jimonfin.2019.02.003

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-09-30
Handle: RePEc:eee:jimfin:v:94:y:2019:i:c:p:206-226