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How does the Eurozone crisis affect securities portfolios?

Author

Listed:
  • Thomas Kick
  • Enrico Onali
  • Benedikt Ruprecht
  • Klaus Schaeck

Abstract

We investigate if the Eurozone crisis affects the composition of security portfolios of households and non-financial firms. Using a unique dataset for all securities holdings by German investors, we exploit plausibly exogenous variation in the exposure to securities issued by stressed Eurozone economies in Greece, Ireland, Italy, Portugal, and Spain, to offer the first comparison of how these two types of investors respond to the European sovereign debt crisis. Difference-in-differences tests show that households, unlike non-financial firms, rebalance their portfoliosby moving from bonds to stocks and from securities issued by financial institutions to securities issued by non-financials.

Suggested Citation

  • Thomas Kick & Enrico Onali & Benedikt Ruprecht & Klaus Schaeck, 2016. "How does the Eurozone crisis affect securities portfolios?," Working Papers CEB 16-022, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:sol:wpaper:2013/229852
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    More about this item

    Keywords

    asset allocation; sovereign debt crisis; household finance; Eurozone; quasi-natural experiment;
    All these keywords.

    JEL classification:

    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
    • D13 - Microeconomics - - Household Behavior - - - Household Production and Intrahouse Allocation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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