XXV Edition

1-2 December 2016"

How Does the Eurozone Crisis Affect Securities Portfolios?

Kick Thomas, Deutsche Bundesbank
Onali Enrico, Aston University
Ruprecht Benedikt, Boston Consulting Group
Schaeck Klaus, Lancaster University

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 is-sued 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 portfolios by moving from bonds to stocks and from securities issued by fi-nancial institutions to securities issued by non-financials.

Area: Other

Keywords: asset allocation; sovereign debt crisis; household finance; Eurozone; quasi-natural experiment

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