国际清算银行-全球或区域安全资产：来自债券替代模式的证据（英）

BIS Working PapersNo 1254 Global or regional safe assets: Evidence from bond substitution patternsby Tsvetelina Nenova Monetary and Economic Department April 2025 JEL classification: F30, G11, G15 Keywords: international finance, portfolio choice, safe assets BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). © Bank for International Settlements 2025. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) Global or Regional Safe Assets:Evidence from Bond Substitution Patterns∗Tsvetelina Nenova†This version: March 17, 2025First draft: November 19, 2023(click here for the latest version)AbstractThis paper provides novel empirical evidence on portfolio rebalancing in internationalbond markets through the prism of investors’ demand for bonds. Using a granular datasetof global government and corporate bond holdings by mutual funds domiciled in the world’stwo largest currency areas, I estimate heterogeneous and time varying demand elasticities forbonds. Safe assets such as US Treasuries or German Bunds face especially inelastic demandfrom investment funds compared to riskier bonds. But spillovers from these safe assets toglobal bond markets are strikingly different. Funds substitute US Treasuries with globalbonds, including risky corporate and emerging market bonds, whereas German Bunds areprimarily substitutable within a narrow set of euro area safe government bonds. Substi-tutability deteriorates in times of stress, impairing the transmission of monetary policy.Keywords: International Finance, Portfolio Choice, Safe AssetsJEL Classification: F30, G11, G15∗This paper is a revised version of Chapter 1 of my PhD thesis. I am deeply indebted to my advisor H´el`ene Rey forthe constructive discussions and unfailing support throughout my PhD studies. I am also grateful to Michele Andreolli,Jean-Pierre Benoit, Wenxin Du, Ester Faia, Lu´ıs Fonseca, Kristin Forbes, Arvind Krishnamurthy, Karen Lewis, MatteoMaggiori, Silvia Miranda-Agrippino, Sarah Mouabbi, Daniel Ostry, Elias Papaioannou, Anna Pavlova, Richard Portes,Lucrezia Reichlin, Jesse Schreger, Taisiya Sikorskaya, Vania Stavrakeva, Paolo Surico, Silvana Tenreyro, Motohiro Yogo forhelpful discussions and suggestions; and to seminar and conference participants at Bank for International Settlements, Bankof England, Banque de France Global Currencies Workshop 2024, Boston College Carroll School of Management, BrookingsInstitution, CEPR ESSIM, CREI, ECB DG International and DG Research, ECB Forum on Central Bank