We analyze how global and local factors affect portfolio allocation by euro area investors in emerging markets at the bond-level. First, cross-sectional analysis reveals a strong preference for home (Euro) currency bonds. Second, panel regressions, whether at the bond or aggregate flows level,...

This study investigates whether banks and insurance corporations perform regulatory arbitrage by buying bonds with inflated credit ratings. We argue that credit rating based capital requirements incentivize banks and insurance corporations to hold more bonds with inflated credit ratings. We...

Using a comprehensive dataset on issuances and holdings of contingent convertible debt instruments (CoCos) issued by European banks we investigate who invests in European CoCos. The results indicate that most European CoCos are not directly held by euro area investors. Foreign investors outside...

With the adoption of the Paris Agreement in December 2015, better understanding of portfolio carbon dioxide (CO2) exposures has become increasingly important for investors, regulators and society at large. In this paper we measure the portfolio carbon footprints (CFPs) of pension funds' stock...

In this paper we show empirically how international investment positions are determined by investor heterogeneity and individual security characteristics. We do so by estimating a gravity model with newly available data that contains both domestic and international holdings of individual sectors...

This study investigates the impact of the Eurosystem's Public Sector Purchase Programme (PSPP) on the micro market structure of sovereign bonds. In particular, we analyze how the PSPP affected the ownership concentration of PSPP-eligible bonds. In line with portfolio rebalancing models we...

Policymakers fear the potentially destabilizing impact of fickle global investors on emerging markets. Euro area investors are significant participants in emerging bond markets and exhibit volatile flows, but their fickleness does not result in indiscriminate periods of surge and flight....

We study how investor's persistent preference to invest more in the home market — “home bias” — is affecting investor's efforts to mitigate risks associated with climate change. When investors have a tendency to tilt their portfolio towards domestic assets, the carbon intensity in the...

Securities Holdings Statistics (SHS), compiled by the European System of Central Banks (ESCB) have spurred research over the past decade. SHS provide high-quality security-by-security data on portfolios. SHS benefit from very high coverage across euro area investors, relying on harmonized...

The Securities Holdings Statistics (SHS), which are collected by the European System of Central Banks (ESCB), have been the subject of extensive research over the past decade. SHS offer detailed information on portfolios, including individual securities data. SHS benefits from high coverage of...