Investment funds and euro disaster risk

Pablo Anaya Longaric, Katharina Cera, Georgios Georgiadis and Christoph Kaufmann

No 3029, Working Paper Series from European Central Bank

Abstract: We document that compared to all other investor groups investment funds exhibit a distinctly procyclical behavior when financial-market beliefs about the probability of a euro-related, institutional rare disaster spike. In response to such euro disaster risk shocks, investment funds shed periphery but do not adjust core sovereign debt holdings. The periphery debt shed by investment funds is picked up by investors domiciled in the issuing country, namely banks in the short term and insurance corporations and households in the medium term. JEL Classification: F34, F45, G23

Keywords: euro disaster risk; investment funds; non-bank financial intermediation; sovereign debt markets (search for similar items in EconPapers)
Date: 2025-02
New Economics Papers: this item is included in nep-eec and nep-fmk
Note: 3597820
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp3029~0ac8f8f674.en.pdf (application/pdf)

Related works:
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:ecb:ecbwps:20253029

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications (officialpublications@ecb.int).