The euro area national central banks have collected detailed information about individual equity and bond holdings in a joint database, the Securities Holdings Statistics (SHS), since 2014. These data break down holdings by country and macroeconomic sector, e.g. households, banks and pension funds. They provide information on, for example, the holdings of Apple or Volkswagen shares by Dutch pension funds or Austrian banks, and the holdings of a specific Portuguese government bond by Italian households or German insurance companies.
Differences in investment behavior
A recent DNB-study on the determinants of domestic and international equity and bond investments reveals major differences in investment behaviour between the various financial sectors and households. Earlier research had already shown that households and institutional investors, such as pension funds, face different barriers to international investments. However, the explanatory power of individual bond and equity characteristics for the differences in investment positions between different investor types remained unclear until now. The SHS allow us to identify the impact of individual security characteristics and to set them apart from other factors affecting investment positions.
Figure 1 shows an example of the heterogeneity between investors in terms of investment portfolio size and domestic/foreign holdings. The largest bond investors are banks with some EUR 4.1 trillion in bond holdings, whereas households and pension funds hold considerably fewer bonds directly. The degree of international diversification strongly depends on investor type. For instance, on average two thirds of the bonds in the portfolios of euro area banks are domestic, compared to roughly half for insurers and a quarter for investment funds. Turning to equities, investment funds and households are the largest investors, with again major differences between domestic and foreign holdings. Whereas investment funds and pension funds invest more than three quarters of their portfolio in foreign equities, households do so for less than a quarter.