Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229002
Authors: 
Bergant, Katharina
Fidora, Michael
Schmitz, Martin
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2388
Abstract: 
We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Pro- gramme at the security level. Based on net transactions of domestic and foreign securities, we observe euro area sectors' capital ows into individual securities, cleaned from valuation effects. Our empirical analysis { which accounts for security-level characteristics { shows that euro area investors (in particular investment funds and households) actively rebal- anced away from securities targeted under the Public Sector Purchase Programme and other euro-denominated debt securities, towards foreign debt instruments, including 'closest sub- stitutes', 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.
Subjects: 
International investment patterns
capital ows
sovereign debt
investor het-erogeneity
quantitative easing
JEL: 
F21
F42
E52
G15
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4031-3
Document Type: 
Working Paper

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