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Cyclical Investment Behaviour across Financial Institutions. ECMI Working Paper No. 4 / July 2017

Timmer, Yannick (2017) Cyclical Investment Behaviour across Financial Institutions. ECMI Working Paper No. 4 / July 2017. [Working Paper]

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    Abstract

    This paper contrasts the investment behaviour of different financial institutions in debt securities as a response to price changes. For identification, the author uses unique security-level data from the German Microdatabase Securities Holdings Statistics. Banks and investment funds respond in a pro-cyclical manner to price changes. Insurance companies and pension funds act counter-cyclically, however; they buy after price declines and sell after price increases. The heterogeneous responses can be explained by differences in their balance sheet structure. Within-sector variation in the financial constraint is used to show that tighter constraints are associated with more pro-cyclical investment behaviour.

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    Item Type: Working Paper
    Subjects for non-EU documents: EU policies and themes > Policies & related activities > economic and financial affairs > economic policy
    Subjects for EU documents: UNSPECIFIED
    EU Series and Periodicals: UNSPECIFIED
    EU Annual Reports: UNSPECIFIED
    Series: Series > Centre for European Policy Studies (Brussels) > ECMI Working Papers
    Depositing User: Phil Wilkin
    Official EU Document: No
    Language: English
    Date Deposited: 28 Jul 2017 12:34
    Number of Pages: 61
    Last Modified: 28 Jul 2017 12:34
    URI: http://aei.pitt.edu/id/eprint/88443

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