Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/94349
Authors: 
Kick, Thomas
Ruprecht, Benedikt
Onali, Enrico
Schaeck, Klaus
Year of Publication: 
2014
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 07/2014
Abstract: 
We use a unique dataset with bank clients' security holdings for all German banks to examine how macroeconomic shocks affect asset allocation preferences of households and non-financial firms. Our analysis focuses on two alternative mechanisms which can influence portfolio choice: wealth shocks, which are represented by the sovereign debt crisis in the Eurozone, and credit-supply shocks which arise from reductions in borrowing abilities during bank distress. We document heterogeneous responses to these two types of shocks. While households with large holdings of securities from stressed Eurozone countries (Greece, Ireland, Italy, Portugal, and Spain) decrease the degree of concentration in their security portfolio as a result of the Eurozone crisis, non-financial firms with similar levels of holdings from stressed Eurozone countries do not. Credit-supply shocks at the bank level (caused by bank distress) result in lower concentration, for both households and non-financial corporations. We also show that only shocks to corporate credit bear ramifications on bank clients' portfolio concentration, while shocks in retail credit are inconsequential. Our results are robust to falsification tests, propensity score matching techniques, and instrumental variables estimation.
Subjects: 
asset allocation
sovereign debt crisis
credit-supply shocks
bank distress
JEL: 
D12
D13
G11
G21
ISBN: 
978-3-95729-023-6
Document Type: 
Working Paper

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