Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/322040 
Year of Publication: 
2025
Series/Report no.: 
ECB Working Paper No. 3029
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
We document that compared to all other investor groups investment funds exhibit a distinctly procyclical behavior when financial-market beliefs about the probability of a euro-related, institutional rare disaster spike. In response to such euro disaster risk shocks, investment funds shed periphery but do not adjust core sovereign debt holdings. The periphery debt shed by investment funds is picked up by investors domiciled in the issuing country, namely banks in the short term and insurance corporations and households in the medium term.
Subjects: 
Investment funds
non-bank financial intermediation
euro disaster risk
sovereign debt markets
JEL: 
F34
F45
G23
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-7123-2
Document Type: 
Working Paper

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