Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/208249
Authors: 
Heipertz, Jonas
Rancière, Romain
Valla, Natacha
Year of Publication: 
2018
Series/Report no.: 
ECB Working Paper 2215
Abstract: 
This paper uses a unique comprehensive database on French security assets and liabilities to study the dynamics of domestic and external sectoral portfolios, their network structure, and their role in the propagation of shocks. We first show how the sharp deterioration of the net external portfolio position of France between 2008 and 2014 was driven by sectoral patterns such as the banking sector retrenchment and the increase in foreign liabilities of the public and corporate sectors, but was mitigated by the expansion of domestic and foreign asset portfolios of insurance companies. We also provide a network representation of the links between domestic sectors and the rest of the world, and document their evolution between 2008 and 2014. Second, we put forward and estimate a model of balance-sheet contagion through inter-sectoral security linkages. The estimation of the model shows that the financial sectors of the economy (banking, mutual fund, and insurance sector) are affected by balance-sheet contagion.
Subjects: 
Sectoral Inter-Linkages
Portfolio Investments
Asset Demand and Supply
JEL: 
F30
G11
G20
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3320-9
Document Type: 
Working Paper

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