International financial flows and the Eurosystem s asset purchase programme: evidence from b.o.p and security-by-security data
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1 Katharina Bergant Martin Schmitz European Central Bank International financial flows and the Eurosystem s asset purchase programme: evidence from b.o.p and security-by-security data Basel, 3 and 31 August 218 The views expressed in this paper are those of the authors and do not necessarily reflect those of the European Central Bank.
2 B.o.p. Rubricevidence: euro area residents rebalanced towards foreign debt securities Euro area portfolio investment asset flows (EUR bn) Total Listed shares Investment fund shares Long-term debt securities Short-term debt securities Notes: For assets, a positive (negative) number indicates net purchases (sales) of non-euro area securities by euro area investors. The latest observation is for 217Q4
3 Rubric The APP and international financial flows the need for granular data Incorporating micro data for policy analysis due to complexity of international financial system and sector heterogeneity (Lane 215; Shin 216) Limitations of macroeconomic statistics Sectoral information on holders/buyers and issuers of securities Integrated information on domestic and foreign securities Data on country-level capital flows offer limited geographic breakdown Security-by-security data Enable data users and statisticians to drill down to security-specific dimensions of financial positions and transactions In this paper: ESCB s security holdings statistics by sector (SHSS) 3
4 Rubric Security holdings statistics by sector (SHSS) Sectoral security-level portfolio holdings and transactions of all 19 euro area countries All securities (domestic and foreign) held by euro area investors Debt securities (short-and long-term) and equities (listed shares and investment fund shares) ISIN allows for obtaining individual asset characteristics from the ESCB s Centralised Securities Database (CSDB) issuer country and institutional sector, currency denomination, yield, maturity High consistency with euro area b.o.p./i.i.p. statistics makes SHSS appealing source to construct complementary micro-based statistical indicators 4
5 Euro Rubric area rebalancing away from PSPP eligible assets towards PSPP substitutes substitutes, but not for all sectors Euro area sectors net purchases of debt securities (EUR bn; cumulated 215Q1 to 217Q4 Foreign non-sovereign Euro area non-eligible Other foreign sovereign PSPP eligible PSPP substitutes HH ICPF MFI NFC OFI Notes: A positive (negative) number indicates net purchases (sales) of securities by euro area investors. PSPP eligible assets are securities eligible to be bought by the Eurosystem under PSPP. PSPP substitutes are sovereign debt securities from advanced countries outside the euro area which would otherwise fullfil the eligibility criteria of the PSPP programme. The latest observation is for 217Q4.
6 Rebalancing Rubric into mixed and bond investment funds Euro area investors net purchases of investment fund shares split by main mandate (EUR bn) mixed bond real estate equity money market other Notes: A positive (negative) number indicates net purchases (sales) of securities by euro area investors. Data on the mandate of the respective investment funds are from an extract of the CSDB on 31/1/218. Other includes unallocated. The latest observation is for 217Q4.
7 US Rubric has been the euro area s preferred issuers of debt securities since launch of PSPP Euro area investors net purchases of debt securities issued by US residents, by issuing sector (EUR bn) NFC ICPF OFI MFI GOV A positive (negative) number indicates net purchases (sales) of securities by euro area investors. The latest observation is for 217Q4.
8 Rebalancing Rubric into foreign-currency denominated debt (especially US dollar) Currency breakdown of euro area investors net purchases of debt securities (EUR bn) EUR USD GBP JPY CHF Other A positive (negative) number indicates net purchases (sales) of securities by euro area investors. The latest observation is for 217Q4.
9 Rebalancing Rubric into securities with original maturity exceeding five years Maturity breakdown of euro area investors net purchases of debt securities (EUR bn) 5-1 years NA 1-3 months 3-12 months >1 years 2-5 years < 1 month 1-2 years A positive (negative) number indicates net purchases (sales) of securities by euro area investors. Maturity refers to original maturity of debt securities at issuance. The latest observation is for 217Q4.
10 Rubric Thank you for your attention!
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