A literature review of securities holdings statistics research and a practitioner’s guide

Granular holdings data containing security-by-security portfolio investments features prominently in economics and finance research. One novel source is the granular Securities Holdings Statistics (SHS), managed by the European Central Bank. SHS covers different euro area investors with over 2 billion observations, representing +50 trillion euros in portfolio investments. This comprehensive SHS research review of 102 studies (31 published and 71 working papers) highlights the strong growth in SHS-based publications, especially since 2022. The review details how granular SHS data has catalyzed research across five fields: banking and finance, international investment, monetary policy, financial markets, and sustainable finance. Addressing the replication crisis in economics, this study emphasizes the need for rigorous data filtering, cleaning and documentation of aggregation choices when using SHS data. A practitioner’s guide is provided to ease future research, enhancing replicability and to minimize non-standard errors, showcasing best practices through multidimensional time-series panel analyses of the holdings of different investors and their preferences for euro-denominated bonds, green bonds, and sustainability-linked bonds. The review concludes by suggesting potential avenues for future research.

Keywords: Securities holdings statistics, portfolio investment, literature review, Eurosystem data, ECB, home currency bias, green bonds, investor heterogeneity, replication crisis.
JEL codes E52, E58, F14, F3, G11, G2, G51, Q56

Working paper no. 757