International Capital Flows at the Security Level – Evidence from the ECB’s Asset Purchase Programme

By Katharina Bergant, Michael Fidora, Martin Schmitz

February 28, 2020

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Katharina Bergant, Michael Fidora, and Martin Schmitz. International Capital Flows at the Security Level – Evidence from the ECB’s Asset Purchase Programme, (USA: International Monetary Fund, 2020) accessed November 21, 2024

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level. Our empirical analysis shows that euro area investors (in particular investment funds and households) actively rebalanced away from securities targeted under the Public Sector Purchase Programme and other euro-denominated debt securities, towards foreign debt instruments, including `closest substitutes', i.e. certain sovereign debt securities issued by non-euro area advanced countries. This rebalancing was particularly strong during the first six quarters of the programme. Our analysis also reveals marked differences across sectors as well as country groups within the euro area, suggesting that quantitative easing has induced heterogeneous portfolio shifts.

Subject: Balance of payments, Capital flows, Financial institutions, Monetary policy, Mutual funds, Securities, Stocks, Unconventional monetary policies

Keywords: Capital flow, Capital flows, Debt securities, Euro, Euro area, Euro area investor, Euro-denominated securities, Global, International investment patterns, Investment funds, Investor heterogeneity, Investors show, Long-term debt, Mutual funds, Net purchase, Portfolio shift, PSPP eligibility, PSPP eligible, PSPP securities, PSPP substitute, Quantitative easing, Securities, Security holding, Sovereign debt, Stocks, Unconventional monetary policies, WP

Publication Details

Pages:

46
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2020/046
Stock No:

WPIEA2020046
ISBN:

9781513529233
ISSN:

1018-5941

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