International Investment Patterns: the Case of German Sectors

Galstyan, Vahagn; Velic, Adnan

doi:10.1007/s11079-018-9483-2

Cited by 8 publications

(11 citation statements)

References 43 publications

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“…(), because these investors are the largest holdings of foreign bonds (see also Camanho, Hau, & Rey, ). Recent evidence by Galstyan and Velic (), who analyze foreign debt and equity holdings for different sectors from Germany, documents indeed mixed signs for the coefficient on distance when taking a more disaggregated sample.…”

Section: Resultsmentioning

confidence: 99%

“…We build on a small number of papers that analyze international investment patterns without a representative investor (Giofré, 2013;Galstyan & Velic, 2018;Galstyan, Lane, Mehigan, & Mercado, 2016;Roque & Céu Cortez, 2014). These studies use disaggregated data from the CPIS to show how the determinants of bilateral asset holdings differ across investor sectors.…”

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confidence: 99%

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International investment positions revisited: Investor heterogeneity and individual security characteristics

Boermans

Vermeulen

2019

Rev International Economics

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This paper contributes to the literature by empirically documenting the importance of investor heterogeneity and security level characteristics for international investment positions. We estimate a standard gravity model to explain holdings in individual bonds and stocks for euro area investors covering 2013Q4–2018Q4. First, our results confirm the importance of market size and distance, but there are significant differences between banks, insurance companies and pension funds, investment funds, households and other investors. Second, we show the statistical significance and economic relevance of security characteristics such as currency, bond maturity and dividend yield. Third, the results are robust to including domestic holdings.

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Section: Resultsmentioning

confidence: 99%

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confidence: 99%

International investment positions revisited: Investor heterogeneity and individual security characteristics

Boermans

Vermeulen

2019

Rev International Economics

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“…Finally, we find that international positions co-vary with the level of macroeconomic and financial uncertainty. Resembling the general conclusions of Galstyan et al (2016) and Galstyan and Velic (2017), we identify heterogeneous patterns at a currency level.…”

Section: Introductionmentioning

confidence: 85%

“…Adopting a gravity-style framework, this literature highlights the importance of bilateral ties and institutions in shaping cross-border distribution of international portfolio investments. More recent studies take a granular approach on portfolio holdings (Avdjiev et al, 2017;Galstyan et al, 2016;Galstyan and Velic, 2017). They show that the relationships present in aggregate data are not indicative of the underlying sectoral relationships.…”

Section: Introductionmentioning

confidence: 99%

The currency composition of international portfolio assets

Galstyan

Mehigan

Mercado³

2020

Journal of International Money and Finance

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In this paper, we empirically assess the importance of gravity-type variables and measures of macroeconomic and financial volatilities in explaining portfolio holdings denominated across the main global currencies: US dollar (USD), euro (EUR), Pound sterling (GBP), Japanese yen (JPY) and Swiss franc (CHF). Our findings underscore the importance of trade ties and membership of the euro area. We also find that international positions co-move with the level of macroeconomic and financial uncertainty. Importantly, we identify heterogeneous patterns at a currency level.

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“…The foreign portfolio of each sector is different and is summarized by one bundled sector-specific foreign asset denoted by f (i). It thus allows to capture the heterogeneity of returns on foreign asset portfolios across sectors highlighted by Galstyan and Velic (2018) for the case of Germany. Similarly, all other types of instruments that are not part of portfolio investments, such as loans, cash or real assets are bundled into a sector-specific outside asset noted o(i).…”

Section: The Modelmentioning

confidence: 99%

Domestic and external sectoral portfolios: Network structure and balance-sheet contagion

Heipertz

Rancière²,

Valla

2019

Journal of International Money and Finance

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Suggested Citation: Heipertz, Jonas; Rancière, Romain; Valla, Natacha (2018) : Domestic and external sectoral portfolios: Network structure and balance-sheet contagion, ECB Working Paper, No. 2215, ISBN 978-92-899-3320-9, European Central Bank (ECB), Frankfurt a. M., http://dx.Standard-Nutzungsbedingungen: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte.Abstract This paper uses a unique comprehensive database on French security assets and liabilities to study the dynamics of domestic and external sectoral portfolios, their network structure, and their role in the propagation of shocks. We first show how the sharp deterioration of the net external portfolio position of France between 2008 and 2014 was driven by sectoral patterns such as the banking sector retrenchment and the increase in foreign liabilities of the public and corporate sectors, but was mitigated by the expansion of domestic and foreign asset portfolios of insurance companies. We also provide a network representation of the links between domestic sectors and the rest of the world, and document their evolution between 2008 and 2014. Second, we put forward and estimate a model of balance-sheet contagion through inter-sectoral security linkages. The estimation of the model shows that the financial sectors of the economy (banking, mutual fund, and insurance sector) are affected by balance-sheet contagion. JEL Codes: F30, G11, G20This paper uses a unique comprehensive database on French security assets and liabilities to study the dynamics of domestic and external sectoral portfolios, their inter-linkages, and their role in the propagation of shocks. The sectors include banking, mutual funds, insurance, corporate, households and public sector. The data covers the period 2008-2014.We first highlight specific sectoral patterns that echoed the 2008 sudden-stop: the banking sector severed its international activities; foreign liabilities of the public and corporate sectors gained prominence; by contrast, the insurance sector expanded massively its domestic and foreign asset portfolios. These patterns were behind the sharp deterioration of the net external portfolio position of France between 2008 and 2014.We then analyze the inter-linkages between the assets and liabilities of domestic sectors and those of the rest of the world, and document their evolution. Over time, the banking sector rebalanced its asset portfolios away from public sector securities into corporate securities. Meanwhile, its liabilities became increasingly held abroad. Finally, the insurance sector took u...

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International Investment Patterns: the Case of German Sectors

Cited by 8 publications

References 43 publications

International investment positions revisited: Investor heterogeneity and individual security characteristics

International investment positions revisited: Investor heterogeneity and individual security characteristics

The currency composition of international portfolio assets

Domestic and external sectoral portfolios: Network structure and balance-sheet contagion

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