Abstract
In this paper we show empirically how international investment positions are determined by investor heterogeneity and individual security characteristics. We do so by estimating a gravity model with newly available data that contains both domestic and international holdings of individual sectors from euro area countries in individual bonds and stocks. The five holding sectors (banks, insurers, pension funds, investment funds and households) all face barriers to international investments, but these differ both across sectors and between their bond and stock holdings. Furthermore, individual security characteristics affect portfolio choice across investors differently. For bonds we find that currency denomination, coupon type, maturity and eligibility as collateral for ECB transactions stand out. For equities we find that market values, currency denomination and dividend payments are important. Since holder sectors vary in size across countries we posit that cross-country differences in sectoral composition may lead to different transmission effects of financial shocks.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
