Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/154095 
Year of Publication: 
2014
Series/Report no.: 
ECB Working Paper No. 1662
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
We use a unique dataset with bank clients’ security holdings for all German banks to examine how macroeconomic shocks affect asset allocation preferences of households and non-financial firms. Our analysis 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 which arise from reductions in borrowing abilities during bank distress. While households with large holdings of securities from stressed Euro area countries (Greece, Ireland, Italy, Portugal, and Spain) decrease the degree of concentration in their security portfolio as a result of the Euro area crisis, non-financial firms with similar levels of holdings from stressed Euro area countries do not. Credit-supply shocks 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. Our results are robust to falsification tests, and instrumental variables estimation.
Subjects: 
asset allocation
bank distress
credit-supply shocks
sovereign debt crisis
JEL: 
D12
D13
G11
G21
Document Type: 
Working Paper

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