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SHS research database

Securities Holdings Statistics (SHS), compiled by the European System of Central Banks (ESCB) and organized by the European Central Bank have spurred research over the past decade. This page includes an overview of the available research papers based on the literature review of DNB Working Paper No. 757 with regular updates. This site also covers code for the practitioner's guide outlined by Boermans (2022) and useful links.

SHS Literature review

The sample includes 84 academic papers. Figure 1 shows that research using granular Securities Holdings Statistics is growing rapidly. Table 1 provides an overview of published journal articles using granular SHS data, while Table 2 displays ongoing research based on academic working papers. Tables are organized by research theme, year and first author.

Please contact shss@dnb.nl if there are any omissions for future updates.

Last update: September 2023

The growth of SHS research over time

The growth of SHS research over time displayed in a graph
You can swipe the table to see more columns.

Journal articles

No Theme Year First author* Journal Short title SHS type
1 Banking and finance 2017 Squartini PhysR E Enhanced capital-asset pricing model SHS-S
2 Banking and finance 2018 Anand JFS A global study on uncovering financial network structures from partial data SHS-G
3 Banking and finance 2018 Boermans AEL Contingent convertible bonds: Who invests in European CoCos? SHS-S
4 Banking and finance 2018 Hüser JFS The systemic implications of bail-in: a multi-layered network approach SHS-G
5 Banking and finance 2019 Hüser JNTF Mapping bank securities across euro area sectors SHS-S and SHS-G
6 Banking and finance 2020 Bubeck JMCB Negative monetary policy rates and systemic banks' risk‐taking SHS-G
7 Banking and finance 2021 Martino JCLS Towards an optimal composition of bail-inable debtholders?  SHS-S
8 Banking and finance 2022 Aldasoro JEDC Contagion accounting in stress-testing SHS-G
9 Banking and finance 2022 Jourde JRI The rising interconnectedness of the insurance sector SHS-S
10 Banking and finance 2022 Maddaloni Book* The new bail-in legislation  
11 Financial markets 2016 Boermans EL European bond markets: Do illiquidity and concentration aggravate price shocks?  SHS-S
12 Financial markets 2023 Fricke JIE Cross-border effects of the US money market fund reform  
13 Financial markets 2023 Kliatskova JIMF Insolvency regimes and cross-border investment decisions SHS-S
14 International investment 2016 Boermans FRL Identifying international investors’ common currency preferences SHS-S
15 International investment 2020 Boermans  RoIE International investment positions revisited SHS-S
16 International investment 2021 Carvalho RoIE Shifts in the portfolio holdings of euro area investors in the midst of COVID-19  
17 International investment 2023 Boermans JIE Sovereign debt ratings and the country composition of cross-border holdings  SHS-S
18 International investment 2021 de Haan JIMF The portfolio holdings of euro area investors: Looking through investment funds SHS-S
19 International investment 2022 Carvalho JIMF Fickle emerging market flows, stable euros, and the dollar risk factor SHS-S
20 Monetary policy 2020 Arrata JFE The scarcity effect of QE on repo rates: Evidence from the euro area SHS-S
21 Monetary policy 2021 Albertazzi JFI Portfolio rebalancing and the transmission of large-scale asset purchase programs SHS-S and SHS-G
22 Monetary policy 2021 Koijen JFE Inspecting the mechanism of quantitative easing in the euro area SHS-S
23 Monetary policy 2023 Kabaca EER Optimal quantitative easing in a monetary union SHS-S
24 Sustainable finance 2022 Alessi IRFA Green Taxonomy alignment versus transition risk in financial portfolios SHS-S
25 Sustainable finance 2023 Boermans JCLEP Preferred habitat investors in the green bond market  
You can swipe the table to see more columns.

Working papers

No Theme Year First author* Short title SHS type
1 Banking and finance 2018 Wang Information contagion and business model similarities SHS-G
2 Banking and finance 2019 Bekaert The (re) allocation of bank risk SHS-S
3 Banking and finance 2019 Fache Rousová Insurers’ investment strategies: pro-or countercyclical? SHS-S
4 Banking and finance 2019 Ringe The dark side of bank resolution: Counterparty risk through bail-in SHS-S
5 Banking and finance 2020 Boermans Capital regulation induced reaching for systematic yield SHS-S
6 Banking and finance 2020 Mink How banks respond to distress: Shifting risks in Europe's banking union SHS-G
7 Banking and finance 2021 Attina TLAC-eligible debt: Who holds it SHS-S
8 Banking and finance 2021 Montagna On the origin of systemic risk SHS-G
9 Banking and finance 2021 Sydow Shock amplification in an interconnected financial system  SHS-G
10 Banking and finance 2022 Del Vecchio A sensitivities based CoVaR approach to assets commonality SHS-G
11 Banking and finance 2022 di Iasio A model of system-wide stress simulation SHS-S
12 Banking and finance 2022 Fukker Contagion from market price impact SHS-S
13 Banking and finance 2022 Henricot Credit default swaps and credit risk reallocation SHS-G
14 Banking and finance 2023 Allaire Fund fragility: The role of investor base SHS-S
15 Banking and finance 2023 Altavilla Bank bond holdings and bail-in regulatory changes SHS-G
16 Banking and finance 2023 Kutuk Public information and stock selection across European financial institutions SHS-S and SHS-G
17 Banking and finance 2023 Sydow Banks and non-banks in a joint liquidity-solvency stress test SHS-S and SHS-G
18 Financial markets 2016 Della Corte Foreign holders of Italian government debt securities SHS-S
19 Financial markets 2018 Accornero Missing investors in the Italian corporate bond market SHS-S
20 Financial markets 2019 Brand From cash-to securities-driven euro area repo markets SHS-S
21 Financial markets 2019 Dötz Redemptions and asset liquidations in corporate bond funds SHS-S
22 Financial markets 2019 Grandia Availability of high-quality liquid assets and monetary policy operations SHS-S
23 Financial markets 2021 Breckenfelder Bank balance sheet constraints and bond liquidity SHS-S
24 Financial markets 2022 Ahmed Foreign institutional investors, monetary policy, and reaching for yield SHS-S
25 Financial markets 2022 Breckenfelder Non-bank liquidity provision to firms SHS-S
26 Financial markets 2022 Darmouni The rise of bond financing in Europe SHS-S
27 Financial markets 2022 Faia Granular investors and international bond prices: Scarcity-induced safety SHS-S
28 Financial markets 2023 Bagattini Liquidity support and distress resilience in bank-affiliated mutual funds. SHS-G
29 Financial markets 2023 Fache Rousová Derivative margin calls: A new driver of MMF flows SHS-S
30 Financial markets 2023 Fricke Who creates and who bears flow externalities in mutual funds? SHS-S
31 Household finance 2021 Lamas Sectorial holdings and stock prices: The household-bank nexus SHS-S
32 International investment 2022 Carvalho Brexit, what Brexit?  SHS-S
33 International investment 2023 Beck Geography of capital allocation in the euro area SHS-S
34 International investment 2023 Bergant Cross-border investment in emerging market bonds SHS-S
35 International investment 2023 Fang Who holds sovereign debt and why it matters  SHS-S
36 Monetary policy 2018 Boermans The impact of the ECB asset purchases on the European bond market structure SHS-S
37 Monetary policy 2018 Boermans Quantitative easing and preferred habitat investors in the euro area bond market SHS-S
38 Monetary policy 2019 Eser Tracing the impact of the ECB’s asset purchase programme on the yield curve SHS-S
39 Monetary policy 2020 Bergant International capital flows at the security level SHS-S
40 Monetary policy 2020 Ferdinandusse Quantitative easing and the price-liquidity trade-off. SHS-S
41 Monetary policy 2021 Jasova Systemic risk and monetary policy SHS-S
42 Monetary policy 2022 Greppmair Securities lender of last resort SHS-S
43 Monetary policy 2022 Hudepohl The rebalancing channel of QE SHS-S
44 Monetary policy 2023 Elsayed Habitat sweet habitat: The heterogeneous effects of Eurosystem asset purchase programs SHS-S and SHS-G
45 Other 2021 Abidi Bright side of transparency SHS-S
46 Other 2022 Boermans Foreign bias in equity portfolios SHS-S
47 Sustainable finace 2022 Pietsch Pricing of green bonds: Drivers and dynamics of the greenium SHS-S
48 Sustainable finance 2020 Boermans Carbon home bias of European investors SHS-S
49 Sustainable finance 2020 Mésonnier Showing off cleaner hands SHS-S
50 Sustainable finance 2022 Aghion Financial markets and green innovation SHS-S
51 Sustainable finance 2022 Belloni Euro area banks' sensitivity to changes in carbon price SHS-G
52 Sustainable finance 2022 Dubiel-Teleszynski System-wide amplification of climate risk SHS-S and SHS-G
53 Sustainable finance 2022 Lucia Over with carbon?  SHS-S
54 Sustainable finance 2022 Papoutsi How unconventional is green monetary policy SHS-S
55 Sustainable finance 2023 Emiris Effect of environmental preferences on investor responses to ESG disclosure SHS-S
56 Sustainable finance 2023 Fricke Who pays the Greenium? SHS-S
57 Sustainable finance 2023 Jourde Climate change and financial stability: A risk assessment of investment funds SHS-S
58 Sustainable finance 2023 Levels Green bond home bias and the role of supply and sustainability preferences SHS-S
59 Sustainable finance  2021 Alogoskoufis ECB economy-wide climate stress test SHS-G

Practitioner's guide

This page includes Stata code to facilitate research on portfolio holdings using SHS-S data to analyze portfolio choice regression models based on Boermans (2022). Please acknowlegde this source when using the code.

See Stata code

Other useful links

Aggregate data-series on SHS-S data are available in the ECB Statistical DataWarehouse. The ECB in the Economic Bulletin 2(2) (2015) provides an overview of the information contained in SHS. The ECB official website on SHS contains more information.


Disclaimer
: no rights can be obtained from this page. Please contact the author for any errors and omissions. As with many databases and code, these are on an "as is" baisis and the author nor the institution associated with it accept responsibilities for possible inaccuracies.