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Domestic and external sectoral portfolios: network structure and balance-sheet contagion. (2018). Heipertz, Jonas ; Ranciere, Romain ; Valla, Natacha.
In: Working Paper Series.
RePEc:ecb:ecbwps:20182215.

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  1. International capital flows at the security level: evidence from the ECB’s Asset Purchase Programme. (2020). Fidora, Michael ; Bergant, Katharina ; Schmitz, Martin.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20202388.

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  2. International Financial Integration in a Changing Policy Context – the End of an Era?. (2018). Kollmann, Robert ; Chinn, Menzie ; Devereux, Michael B.
    In: MPRA Paper.
    RePEc:pra:mprapa:90400.

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  3. Household Wealth and Resilience to Financial Shocks in Italy. (2018). Garcia-Macia, Daniel.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2018/196.

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  4. International capital flows at the security level – evidence from the ECB’s asset purchase programme. (2018). Schmitz, Martin ; Fidora, Michael ; Bergant, Katharina.
    In: ECMI Papers.
    RePEc:eps:ecmiwp:13926.

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  5. Balance-Sheet Diversification in General Equilibrium: Identification and Network Effects. (2017). Valla, Natacha ; Ranciere, Romain ; Ouazad, Amine ; Heipertz, Jonas.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:23572.

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  6. Balance-Sheet Diversification in General Equilibrium: Identification and Network Effects. (2017). Ouazad, Amine ; Heipertz, Jonas ; Valla, Natacha ; Ranciere, Romain.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12134.

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  1. (a) 2008Q1 (b) 2014Q1 ECB Working Paper Series No 2215 / December 2018 Figure 5: Network of Domestic Sectors and the Rest of the World in 2008Q1 and 2014Q1. This figure shows bilateral exposures between the domestic institutional sectors of France and the rest of the world in percent of annual French GDP. Each node represents an institutional sector. The size of the node is proportional to the sector’s total assets. A parting arrow illustrates a sector’s exposure to liabilities of the arriving sector. The size of the arrow is proportional to the bilateral exposure.
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  2. (a) 2008Q1 (b) 2014Q1 ECB Working Paper Series No 2215 / December 2018 Figure 6: Network of Domestic Sectors, the rest of the Eurozone, and the Non-Eurozone in 2008Q1 and 2014Q1. This figure shows bilateral exposures between the domestic institutional sectors of France, the rest of the Eurozone (excluding France), and the Non-Eurozone in percent of annual French GDP. Each node represents an institutional sector. The size of the node is proportional to the sector’s total assets. A parting arrow illustrates a sector’s exposure to liabilities of the arriving sector. The size of the arrow is proportional to the bilateral exposure.
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  3. (a) 2008Q1 (b) 2014Q1 ECB Working Paper Series No 2215 / December 2018 Figure 7: Evolution of Balance-Sheet Contagion Effects from 2008Q1 to 2014Q1. This figure shows the effect of a sector-specific shock on returns after full propagation. In particular, Panel (a) shows how the return on securities issued by the banking sector depend on a 1 ppt shock originating in different sectors of the economy. It is given by the rows of the contagion matrix C(β)t, which varies strongly over time due to changes in the network of bilateral sectoral exposures.
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  4. (a) Banking Return (b) Mutual Funds Return (c) Insurance Return ECB Working Paper Series No 2215 / December 2018 Figure 8: Balance-Sheet Contagion Effects in 2008Q1 and 2014Q1. Each panel compares the effect on returns on different securities of a shock on a specific sector. For example, Panel (a) shows the effect on the return of securities issued by the banking sector, the insurance sector and mutual fund sector of a 1ppt shock on the Banking sector in 2008Q1 and 2014Q1.
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  5. [1] D. Acemoglu, V. M. Carvalho, A. Ozdaglar, and A. Tahbaz-Salehi. The Network Origins of Aggregate Fluctuations. Econometrica, 2012.

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  11. [3] O. Castrén and I. Kavonius. Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro-Area. European Central Bank, Working Paper Series N. 1124, 2009.

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  13. [5] European Union. ESA 2010, Annex A, Regulation (EU) No 549/2013. Official Journal of the European Union, 2013.
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  14. [6] V. Galstyan, P. Lane, C. Mehigan, and R. Mercado. The Holder and Issuers of International Portfolio Securities. NBER Working Paper No. 22466, 2016.

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  17. [9] R. Greenwood, A. Landier, and D. Thesmar. Vulnerable Banks. Journal of Financial Economics, 2015.
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  18. ECB Working Paper Series No 2215 / December 2018 Figure 2: International Investment Position of France from 2008Q1 to 2015Q3. This figure shows the evolution of the breakdown of gross (Panel (a)) and net (Panel (b)) external assets and liabilities of French residents into the five categories: reserves, portfolio investments, direct investments, other investments, and derivatives. Amounts are in euros. (a) Gross External Asset and Liability Positions −1.0e+13 −5.0e+12 0.0e+00 5.0e+12 1.0e+13 q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q Reserves Portfolio Direct Other Derivatives −1.0e+12 −5.0e+11 0.0e+00 5.0e+11 1.0e+12 q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q
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  19. Reserves Portfolio Direct Other (b) Valuation of External Liabilities ECB Working Paper Series No 2215 / December 2018 Figure 4: Network of Domestic Sectors in 2008Q1 and 2014Q1. This figure shows bilateral exposures between the domestic institutional sectors of France in percent of annual French GDP. Each node represents an institutional sector. The size of the node is proportional to the sector’s total assets. A parting arrow illustrates a sector’s exposure to liabilities of the arriving sector. The size of the arrow is proportional to the bilateral exposure. A node of the size of French GDP is plotted at the top-right of the Figure to provide a reference for the scale of the nodes.
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  20. Reserves Portfolio Direct Other Derivatives (b) Net (Asset minus Liability) External Position ECB Working Paper Series No 2215 / December 2018 Figure 3: Change of the International Investment Position of France due to Valuations from 2008Q1 to 2015Q3. This figure shows the evolution of the change of the external asset (Panel (a)) and liability (Panel (b)) positions of French residents due to valuation effects for reserves, portfolio investments, direct investments and other investments. Amounts are in euros. (a) Valuation of External Assets −1.0e+11 0.0e+00 1.0e+11 2.0e+11 3.0e+11 q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q Reserves Portfolio Direct Other −2.0e+11 −1.0e+11 0.0e+00 1.0e+11 2.0e+11 3.0e+11 q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q q
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