Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154042
Authors: 
Habib, Maurizio Michael
Stracca, Livio
Year of Publication: 
2013
Series/Report no.: 
ECB Working Paper 1609
Abstract: 
In this paper we study the impact of shocks to global risk and global risk aversion (such as Lehman) as well as shocks with a more idiosyncratic nature (such as the euro debt crisis) on cross border portfolio flows, taking the perspective of foreign investors. We find robust evidence of systematic portfolio outflows in the wake of both types of shocks. There are no securities which are consistently safe haven assets, namely experiencing portfolio inflows when risk is on the rise or perceived to be high. Nevertheless, especially money market instruments issued by the US, euro area low-yield countries and Japan, as well as securities issued in Switzerland have behaved as safe haven assets in specific episodes or following changes in certain risk measures. We also find that the role of US-based crises and risk shocks is special, with the US not necessarily experiencing portfolio outflows or even attracting inflows for short-term dated securities, as a safe haven country, in those episodes.
Subjects: 
home bias
Information
portfolio flows
risk aversion
safe haven
JEL: 
G11
G15
Document Type: 
Working Paper

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