Investment funds and euro disaster risk

Pablo Anaya Longaric, Katharina Cera, Georgios Georgiadis, Christoph Kaufmann

We document that compared to all other investor groups investment funds exhibit a distinctly procyclical behavior when financial-market beliefs about the probability of a euro-related, institutional rare disaster spike. In response to such euro disaster risk shocks, investment funds shed periphery but do not adjust core sovereign debt holdings. The periphery debt shed by investment funds is picked up by investors domiciled in the issuing country, namely banks in the short term and insurance corporations and households in the medium term.

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Year of publication:	[2025]
Authors:	Anaya, Pablo ; Cera, Katharina ; Georgiadis, Georgios ; Kaufmann, Christoph
Publisher:	Frankfurt am Main, Germany : European Central Bank
Subject:	Investment funds \| non-bank financial intermediation \| euro disaster risk \| sovereign debt markets \| Investmentfonds \| Investment Fund \| Eurozone \| Euro area \| Katastrophe \| Disaster \| Finanzintermediation \| Financial intermediation \| EU-Staaten \| EU countries \| Risiko \| Risk \| Euro \| Öffentliche Schulden \| Public debt \| Öffentliche Anleihe \| Public bond \| Schuldenkrise \| Debt crisis \| Risikoprämie \| Risk premium \| Portfolio-Management \| Portfolio selection

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Extent:	1 Online-Ressource (circa 99 Seiten) Illustrationen
Series:	Working paper series / European Central Bank. - Frankfurt, M. : European Central Bank, ISSN 1725-2806, ZDB-ID 2123559-4. - Vol. no 3029
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
ISBN:	978-92-899-7123-2
Other identifiers:	10.2866/4361264 [DOI]
Classification:	F34 - International Lending and Debt Problems ; f45 ; G23 - Pension Funds; Other Private Financial Institutions
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10015339629