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A literature review of securities holdings statistics research and a practitioner’s guide

Martijn Boermans

Working Papers from DNB

Abstract: Securities Holdings Statistics (SHS), compiled by the European System of Central Banks (ESCB) have spurred research over the past decade. SHS provide high-quality security-by-security data on portfolios. SHS benefit from very high coverage across euro area investors, relying on harmonized reporting and data preparation by the ECB since 2013-Q4. This paper provides a literature review of SHS research by surveying all published journal articles and working papers using granular SHS data. We demonstrate a rising popularity of SHS with 69 studies so far, advancing most prominently three research fields: (i) the banking and finance literature, mostly on interconnectedness and contagion, (ii) the international investment literature, and, (iii) monetary policy research on quantitative easing. Still, this review argues that SHS research is in its infancy, yet quickly growing. We highlight a surge of new studies, notably in sustainable finance. We provide a practitioner’s guide with code, cleaning procedures and common specifications illustrated with home currency bias regressions. Finally, this review discusses avenues of future research.

Keywords: Securities holdings statistics; portfolio investment; literature review; Eurosystem data; home currency bias (search for similar items in EconPapers)
JEL-codes: E52 E58 F14 F3 G11 G2 G51 Q56 (search for similar items in EconPapers)
Date: 2022-12
New Economics Papers: this item is included in nep-ban
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