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International Capital Flows at the Security Level : Evidence from the ECB's Asset Purchase Programme

Fidora, Michael - 2020

We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level. Based on net transactions of domestic and foreign securities, we observe euro area sectors' capital flows into individual securities, cleaned from valuation effects. Our...

Persistent link: https://www.econbiz.de/10012837755

Real Exchange Rate Misalignments in the Euro Area

Fidora, Michael - 2017

Building upon a Behavioural Equilibrium Exchange Rate (BEER) model, estimated at a quarterly frequency since 1999 on a broad sample of 57 countries, this paper assesses whether both the size and the persistence of real effective exchange rate misalignments from the levels implied by economic...

Persistent link: https://www.econbiz.de/10012943954

Shifts in the Portfolio Holdings of Euro Area Investors in the Midst of COVID-19 : Looking-Through Investment Funds

Carvalho, Daniel; Schmitz, Martin - 2021

We study the impact of the COVID-19 shock on the portfolio exposures of euro area investors. The analysis “looks-through” holdings of investment fund shares to first gauge euro area investors' full exposures to global debt securities and listed shares by sector at end-2019 and to...

Persistent link: https://www.econbiz.de/10013243788

Euro Area Monetary Policy and Target Balances : A Trilogy

Eisenschmidt, Jens; Kedan, Danielle; Schmitz, Martin - 2022

The growth in TARGET balances after 2009 has given rise to intense academic and public debate. Our paper offers a systematic exposition of the necessary conditions for TARGET balances to emerge and provides a clear link to monetary policy. We show that large TARGET balances can only arise with...

Persistent link: https://www.econbiz.de/10014238460

Brexit, What Brexit? Euro Area Portfolio Exposures to the United Kingdom Since the Brexit Referendum

Carvalho, Daniel; Schmitz, Martin - 2022

We study euro area investors' portfolio adjustment since the Brexit referendum in terms of securities issued in the UK or denominated in pound sterling, in the context of heightened policy uncertainty surrounding the exit process of the UK from the EU. Our sector-level analysis "looks-through"...

Persistent link: https://www.econbiz.de/10014239454

Financial Markets and International Risk Sharing in Emerging Market Economies

Schmitz, Martin - 2012

In light of rapidly increasing foreign equity liability positions of emerging market economies, we test for a necessary condition of international risk sharing, namely for systematic patterns between idiosyncratic output fluctuations and financial market developments. Panel analysis of 22...

Persistent link: https://www.econbiz.de/10013104147

Distance(s) and the Volatility of International Trade(s)

Mehl, Arnaud - 2019

Does distance matter for the volatility of international real and financial transactions? We show that it does, in addition to its well-established relevance for the level of trade. A simple model of trade with endogenous markups shows that demand shocks have a larger impact on trade between...

Persistent link: https://www.econbiz.de/10012889878

America First? A US-centric View of Global Capital Flows

McQuade, Peter - 2019

with those of the rest of the world. We analyse the relative importance of US, country-specific, and global variables as …. Global and national risk indicators perform better in explaining “rest of the world” flows. Moreover, we find that the … correlation between US and rest of the world flows peaks in periods of elevated uncertainty. We interpret our findings as evidence …

Persistent link: https://www.econbiz.de/10012892830

The Great Moderation in International Capital Flows : A Global Phenomenon?

McQuade, Peter - 2016

This paper highlights a recent ‘great moderation' in global capital flows, characterized by smaller volumes and lower volatility of cross-border transactions. However, there are substantial differences across countries and regions which we analyse by comparing the level of international...

Persistent link: https://www.econbiz.de/10012983089

Financial Remoteness and the Net External Position

Schmitz, Martin - 2011

This paper shows that, controlling for standard determinants of net external positions, financially-remote countries exhibit more positive net external positions. This finding is found to be stronger for less advanced countries, hinting at external funding problems for more remote countries....

Persistent link: https://www.econbiz.de/10013127570