文章基本信息

标题：Wealth shocks, credit-supply shocks, and asset allocation: evidence from household and firm portfolios
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作者：Thomas Kick ; Enrico Onali ; Benedikt Ruprecht 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：We use a unique dataset with bank clients’ security holdings for all German banks to examine howmacroeconomic shocks affect asset allocation preferences of households and non-financial firms. Ouranalysis focuses on two alternative mechanisms which can influence portfolio choice: wealth shocks,which are represented by the sovereign debt crisis in the Euro area, and credit-supply shocks whicharise from reductions in borrowing abilities during bank distress. While households with large holdingsof securities from stressed Euro area countries (Greece, Ireland, Italy, Portugal, and Spain) decreasethe degree of concentration in their security portfolio as a result of the Euro area crisis, nonfinancialfirms with similar levels of holdings from stressed Euro area countries do not. Credit-supplyshocks at the bank level result in lower concentration, for both households and non-financial corporations.Only shocks to corporate credit bear ramifications on bank clients’ portfolio concentration. Ourresults are robust to falsification tests, and instrumental variables estimation.
关键词：asset allocation; sovereign debt crisis; credit-supply shocks; bank distress