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

Author/Editor:

Katharina Bergant ; Michael Fidora ; Martin Schmitz

Publication Date:

February 28, 2020

Electronic Access:

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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.

Series:

Working Paper No. 20/46

Subject:

English

Publication Date:

February 28, 2020

ISBN/ISSN:

9781513529233/1018-5941

Stock No:

WPIEA2020046

Format:

Paper

Pages:

46

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