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International Capital Flows at the Security Level – Evidence from the ECB’s Asset Purchase Programme
Author:
Katharina Bergant null

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Michael Fidora null

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Martin Schmitz null

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Series:
IMF Working Papers
Volume/Issue:
Volume 2020: Issue 046
Language:
English
Publication Date:
28 Feb 2020
DOI:
https://doi.org/10.5089/9781513529233.001
ISBN:
9781513529233
ISSN:
1018-5941
Pages:
46
Keywords:
WP; euro; PSPP substitute; PSPP eligibility; debt securities; euro area; capital flow; investment funds; Securities; Mutual funds; Capital flows; Stocks; Unconventional monetary policies; Global; International investment patterns; sovereign debt; investor heterogeneity; quantitative easing; PSPP eligible; investors show; Euro area investor; security holding; euro-denominated securities; long-term debt; net purchase; portfolio shift; PSPP securities
Legal-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.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund