A literature review of securities holdings statistics research and a practitioner’s guide
Gepubliceerd: 15 december 2022
Door: Martijn Boermans
Securities Holdings Statistics (SHS), compiled by the European System of Central Banks (ESCB) have spurred research over the past decade. SHS provide high-quality security-by-security data on portfolios. SHS benefit from very high coverage across euro area investors, relying on harmonized reporting and data preparation by the ECB since 2013-Q4. This paper provides a literature review of SHS research by surveying all published journal articles and working papers using granular SHS data. We demonstrate a rising popularity of SHS with 69 studies so far, advancing most prominently three research fields: (i) the banking and finance literature, mostly on interconnectedness and contagion, (ii) the international investment literature, and, (iii) monetary policy research on quantitative easing. Still, this review argues that SHS research is in its infancy, yet quickly growing. We highlight a surge of new studies, notably in sustainable finance. We provide a practitioner’s guide with code, cleaning procedures and common specifications illustrated with home currency bias regressions. Finally, this review discusses avenues of future research.
Keywords: Securities holdings statistics; portfolio investment; literature review; Eurosystem data; home currency bias
JEL codes E52; E58; F14; F3; G11; G2; G51; Q56
Working paper no. 757
757 - Securities holdings statistics, portfolio investment, literature review, Eurosystem data, home currency bias
Research highlights
- Ten years of Securities Holdings Statistics (SHS) have spurred academic research in a wide range of fields, advancing the literature from a macroeconomic view to granular analyses, most prominently on banking and finance, international investment and monetary policy.
- SHS provide high-quality security-by-security data on portfolios with very high coverage for euro area investors across different countries and sectors, relying on harmonized reporting and data preparation by the ECB with almost 1,000 million observations, covering more than 40 trillion euros of euro area holdings by 2022-Q2.
- We provide a literature review of all 69 journal articles and working papers so far, showing that more than 180 researchers published with granular portfolio holdings SHS data.
- We suggest that SHS research is still in its infancy but strongly growing, highlighted by the recent rapid expansion of SHS research with 30 working papers between 2021 and 2022. This surge is especially notable in sustainable finance research.
- We offer a practitioner’s guide using portfolio holdings data, illustrated by home currency bias regressions.
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