International investment positions revisited: Investor heterogeneity and individual security characteristics
Martijn Boermans and
DNB Working Papers from Netherlands Central Bank, Research Department
In this paper we show empirically how international investment positions are determined by investor heterogeneity and individual security characteristics. We do so by estimating a gravity model with newly available data that contains both domestic and international holdings of individual sectors from euro area countries in individual bonds and stocks. The five holding sectors (banks, insurers, pension funds, investment funds and households) all face barriers to international investments, but these differ both across sectors and between their bond and stock holdings. Furthermore, individual security characteristics affect portfolio choice across investors differently. For bonds we find that currency denomination, coupon type, maturity and eligibility as collateral for ECB transactions stand out. For equities we find that market values, currency denomination and dividend payments are important. Since holder sectors vary in size across countries we posit that cross-country differences in sectoral composition may lead to different transmission effects of financial shocks.
Keywords: international investment patterns; investor heterogeneity; securities holdings statistics (search for similar items in EconPapers)
JEL-codes: F36 G11 G15 G20 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:dnb:dnbwpp:531
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