 Domestic and external sectoral portfolios: Network structure and balance-sheet contagionJonas 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) Downloads: (external link) Related works: 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 |
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