期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2013
出版社：European Central Bank
摘要：In this paper we study the impact of shocks to global risk and global risk aversion (such as Lehman) as well as shocks with a more idiosyncratic nature (such as the euro debt crisis) on cross border portfolio ows, taking the perspective of foreign investors. We nd robust evidence of systematic portfolio outows in the wake of both types of shocks. There are no securities which are consistently safe haven assets, namely experiencing portfolio inows when risk is on the rise or perceived to be high. Nevertheless, especially money market instruments issued by the US, euro area low-yield countries and Japan, as well as securities issued in Switzerland have behaved as safe haven assets in speci c episodes or following changes in certain risk measures. We also nd that the role of US-based crises and risk shocks is special, with the US not necessarily experiencing portfolio outows or even attracting inows for short-term dated securities, as a safe haven country, in those episodes.
关键词：Safe haven; portfolio ows; information; risk aversion; home bias.
