2025-04-13-国际清算银行-全球或区域安全资产_来自债券替代模式的证据（英）_128页_1mb

Analysis Summary

This paper provides novel empirical evidence on international bond market portfolio rebalancing through investor demand elasticities, with a focus on safe assets. Using a granular dataset of bond holdings by funds in the US and euro area, the study estimates time-varying, bond-specific substitution elasticities. Key findings include:

Own Demand Elasticities:

• Safe assets (e.g., US Treasuries and German Bunds) face the lowest demand elasticities due to their perceived safety, including non-pecuniary benefits like liquidity and regulatory convenience.
• Demand elasticities increase with credit risk, maturity, and issuer region, with Euro Area bonds (especially core countries) having lower elasticities than US bonds.
• Shorter-maturity bonds also exhibit lower elasticities.

Substitution Elasticities and Portfolio Rebalancing:

• US Treasury return shocks spill over globally, affecting bonds across credit ratings and regions, with the greatest rebalancing occurring for riskier assets (e.g., BB-rated) during tranquil times.
• German Bund return shocks primarily affect euro-area sovereign bonds, reflecting regional segmentation and demonstrating their role as a regional safe asset.

Time Variation and Monetary Policy Transmission:

• Market stress (e.g., financial crises) reduces substitutability between safe and risky assets due to amplified flight-to-safety behavior, limiting the effectiveness of monetary policy transmission via portfolio rebalancing.
• Quantitative easing programs have limited impact on risky asset pricing during turmoil, as private investor substitution is impaired.

Policy Implications:

• Safe assets play a crucial role in international portfolio diversification, but their "global" (US Treasuries) or "regional" (German Bunds) nature affects spillovers.
• Policy interventions favoring direct purchases of safe assets may poorly transmit to risky assets during stress, requiring state-contingent approaches.

The empirical results highlight significant market fragmentation across bond characteristics and geographies, informing better understanding of capital flows, risk-taking behavior, and monetary policy spillovers.