欧洲央行-全球或区域安全资产：来自债券替代模式的证据（英）

Working Paper Series Global or regional safe assets: evidence from bond substitution patterns ECB – Lamfalussy Fellowship Programme Tsvetelina Nenova Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3159 ECB Lamfalussy Fellowship Programme This paper has been produced under the ECB Lamfalussy Fellowship programme. This programme was launched in 2003 in the context of the ECB-CFS Research Network on “Capital Markets and Financial Integration in Europe”. It aims at stimulating high-quality research on the structure, integration and performance of the European financial system. The Fellowship programme is named after Baron Alexandre Lamfalussy, the first President of the European Monetary Institute. Mr Lamfalussy is one of the leading central bankers of his time and one of the main supporters of a single capital market within the European Union. Each year the programme sponsors five young scholars conducting a research project in the priority areas of the Network. The Lamfalussy Fellows and their projects are chosen by a selection committee composed of Eurosystem experts and academic scholars. Further information about the Network can be found at http://www.eufinancial-system.org and about the Fellowship programme under the menu point “fellowships”. ECB Working Paper Series No 31591AbstractThis 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, G15ECB Working Paper Series No 31592Non-technical summaryInternational bond markets play a key role in the transmission of monetary policy both domes-tically and internationally. That is not only due to their sheer size, being the largest securitiesmarket in the world, but also because they are home to many of the world’s safe assets – thegovernment bonds of advanced economies with low credit risk. The monetary policies of theworld’s largest economies such as the US and euro area can often directly affect the returns ontheir domestic safe assets (through