Investment funds procyclical to bond markets – ECB blog
Vehicles sell sovereign debt in times of stress while other investors step in to buy it
Investment funds display a distinctively procyclical role in the eurozone’s sovereign debt market, researchers at the European Central Bank have found.
In a blog post today (August 12), Pablo Anaya Longaric, Katharina Cera, Georgios Georgiadis and Christoph Kaufmann examine the funds’ behaviour in government bond markets.
They find that investment funds account for most net sales of sovereign bonds during times of stress. By contrast, other investors, such as banks, households and insurance
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