Abstract

http://ssrn.com/abstract=2408449
 


 



Wealth Shocks, Credit-Supply Shocks, and Asset Allocation: Evidence from Household and Firm Portfolios


Thomas K. Kick


Deutsche Bundesbank

Enrico Onali


University of Wales System - Bangor University, Bangor Business School

Benedikt Ruprecht


Deutsche Bundesbank

Klaus Schaeck


University of Wales - Bangor Business School

March 13, 2014

ECB Working Paper No. 1662

Abstract:     
We use a unique dataset with bank clients’ security holdings for all German banks to examine how macroeconomic shocks affect asset allocation preferences of households and non-financial firms. Our analysis focuses on two alternative mechanisms which can influence portfolio choice: wealth shocks, which are represented by the sovereign debt crisis in the Euro area, and credit-supply shocks which arise from reductions in borrowing abilities during bank distress. While households with large holdings of securities from stressed Euro area countries (Greece, Ireland, Italy, Portugal, and Spain) decrease the degree of concentration in their security portfolio as a result of the Euro area crisis, non-financial firms with similar levels of holdings from stressed Euro area countries do not. Credit-supply shocks at the bank level result in lower concentration, for both households and non-financial corporations. Only shocks to corporate credit bear ramifications on bank clients’ portfolio concentration. Our results are robust to falsification tests, and instrumental variables estimation.

Number of Pages in PDF File: 48

Keywords: asset allocation; sovereign debt crisis; credit-supply shocks; bank distress

JEL Classification: D12; D13; G11; G21

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Date posted: April 5, 2014  

Suggested Citation

Kick, Thomas K. and Onali, Enrico and Ruprecht, Benedikt and Schaeck, Klaus, Wealth Shocks, Credit-Supply Shocks, and Asset Allocation: Evidence from Household and Firm Portfolios (March 13, 2014). ECB Working Paper No. 1662. Available at SSRN: http://ssrn.com/abstract=2408449

Contact Information

Thomas K. Kick (Contact Author)
Deutsche Bundesbank ( email )
Wilhelm-Epstein-Str. 14
D-60431 Frankfurt/Main
Germany
Enrico Onali
University of Wales System - Bangor University, Bangor Business School ( email )
Bangor, Gwynedd, Wales LL57 2DG
United Kingdom
Benedikt Ruprecht
Deutsche Bundesbank ( email )
Wilhelm-Epstein-Str. 14
D-60431 Frankfurt/Main
Germany
+49 69 9566 - 8618 (Phone)
Klaus Schaeck
University of Wales - Bangor Business School ( email )
Bangor, Gwynedd, Wales LL57 2DG
United Kingdom
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