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）-2025.4_128页_1mb

Summary: Global or Regional Safe Assets: Evidence from Bond Substitution Patterns

Abstract

This paper estimates the demand for bonds by international mutual funds using granular and comprehensive datasets. By examining demand elasticities across a wide range of bonds, the study characterizes safe assets and their role in portfolio rebalancing. The methodology employs high-frequency monetary policy shocks as instruments to address endogeneity and incorporates detailed investor and bond characteristics. Results show that safe assets, such as US Treasuries and German Bunds, exhibit lower demand elasticities compared to riskier bonds, highlighting their unique appeal to investors. US Treasuries serve as a global safe asset with extensive market spillovers, while German Bunds fulfill a regional safe asset role, primarily within the euro area. Time-variation in demand elasticities is observed, with "flight-to-safety" behavior noted during periods of stress, impairing substitution between safe and risky assets and potentially reducing the effectiveness of monetary policy transmission.

Methodology

The study utilizes a granular dataset of security-level bond holdings by mutual funds, spanning approximately 5,000 bond portfolios with a combined face value of $74 trillion. The methodology estimates demand elasticities by:

1. Grouping bond holdings into fine buckets based on credit rating, issuer region, maturity, and currency
2. Estimating a demand system that accounts for investor heterogeneity and time-varying risk aversion
3. Employing high-frequency monetary policy shocks (fed and ECB) as instruments to address endogeneity

Demand elasticities are calculated as semi-elasticities of bond portfolio weights with respect to changes in predicted excess returns, capturing sensitivities across bond characteristics.

Key Findings

Safe Asset Features

• Safe assets (high credit quality, short maturity) exhibit significantly lower demand elasticities than riskier bonds
• Own elasticities range from 0.3 to 3.8, indicating substantial variation across bonds
• Demand elasticity increases with credit risk, with BBB-rated bonds facing roughly double the elasticity of AAA-rated bonds
• Currency denomination affects elasticities, with the US dollar facing higher elasticity than other currencies

Global vs Regional Safe Assets

• US Treasuries: Global safe asset with significant spillovers across all bond characteristics
• German Bunds: Regional safe asset with limited spillovers outside the euro area
• Substitution elasticities differ markedly between the two assets:
  • US Treasuries trigger global rebalancing toward riskier bonds
  • German Bunds primarily affect allocations within euro-area sovereign bonds

Flight to Safety and Time Variation

• Demand elasticities increase during periods of heightened risk aversion
• Substitutability between safe and risky assets deteriorates during market stress (e.g., 2008 crisis, COVID-19)
• Monetary policy transmission may be impaired during turmoil, as portfolio rebalancing from safe to risky assets is constrained

[End of Markdown Summary]