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International capital flows at the security level � evidence from the ECB�s asset purchase programme

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  • Bergant, Katharina
  • Fidora, Michael
  • Schmitz, Martin

Abstract

The paper analyses euro area investors� portfolio rebalancing during the ECB�s Asset Purchase Programme (APP) at the security level. Based on net transactions of domestic and foreign securities, the authors observe euro area sectors� capital flows into individual securities, cleaned from valuation effects. Their empirical analysis � which accounts for security-level characteristics � shows that euro area investors (in particular investment funds and households) actively rebalanced away from securities targeted under the Public Sector Purchase Programme (PSPP) and other euro-denominated debt securities, towards foreign debt instruments, including �closest substitutes�, 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. The 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.

Suggested Citation

  • Bergant, Katharina & Fidora, Michael & Schmitz, Martin, 2018. "International capital flows at the security level � evidence from the ECB�s asset purchase programme," ECMI Papers 13926, Centre for European Policy Studies.
    • Handle: RePEc:eps:ecmiwp:13926
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    Cited by:

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    2. Picón Aguilar, Carmen & Soares, Rodrigo Oliveira & Adalid, Ramón, 2020. "Revisiting the monetary presentation of the euro area balance of payments," Occasional Paper Series 238, European Central Bank.
    3. McQuade, Peter & Schmitz, Martin, 2019. "America First? A US-centric view of global capital flows," Working Paper Series 2238, European Central Bank.
    4. Boermans, Martijn A. & Burger, John D., 2023. "Fickle emerging market flows, stable euros, and the dollar risk factor," Journal of International Economics, Elsevier, vol. 142(C).
    5. Fabian Eser & Wolfgang Lemke & Ken Nyholm & Sören Radde & Andreea Liliana Vladu, 2023. "Tracing the Impact of the ECB’s Asset Purchase Program on the Yield Curve," International Journal of Central Banking, International Journal of Central Banking, vol. 19(3), pages 359-422, August.
    6. Stephanos Papadamou & Nikolaos A. Kyriazis & Panayiotis G. Tzeremes, 2019. "Spillover Effects of US QE and QE Tapering on African and Middle Eastern Stock Indices," JRFM, MDPI, vol. 12(2), pages 1-20, April.
    7. Katharina Bergant & Martin Schmitz, 2019. "International financial flows and the Eurosystem’s asset purchase programme: evidence from b.o.p and security by security data," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Are post-crisis statistical initiatives completed?, volume 49, Bank for International Settlements.

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