International Capital Flows at the Security Level - Evidence from the ECB's Asset Purchase Programme

47 Pages Posted: 20 Apr 2020

See all articles by Katharina Bergant

Katharina Bergant

International Monetary Fund, Research Department

Michael Fidora

affiliation not provided to SSRN

Martin Schmitz

European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Date Written: February 2020

Abstract

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.

Keywords: Financial and Monetary Sector, Financial crises, Debt securities, Mutual funds, Economic policy, International investment patterns, capital flows, sovereign debt, investorheterogeneity, quantitative easing, WP, PSPP, euro area, debt security, rebalance, MFIs

JEL Classification: F21, F42, E52, G15, E01, G21, F16, F3

Suggested Citation

Bergant, Katharina and Fidora, Michael and Schmitz, Martin, International Capital Flows at the Security Level - Evidence from the ECB's Asset Purchase Programme (February 2020). IMF Working Paper No. 20/46, Available at SSRN: https://ssrn.com/abstract=3579666

Katharina Bergant (Contact Author)

International Monetary Fund, Research Department ( email )

700 19th Street NW
Washington, DC 20431
United States

Michael Fidora

affiliation not provided to SSRN

No Address Available

Martin Schmitz

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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